Other Publications by Francis Longstaff

1. Valuing Credit Derivatives (with Eduardo Schwartz) The Journal of Fixed Income 5, 6-12, June 1995.

2. Hedging Interest Rate Risk with Options on Average Interest Rates, The Journal of Fixed Income, 37-45, March 1995.

3. Placing No-Arbitrage Bounds on the Value of Nonmarketable and Thinly-Traded Securities, Advances in Futures and Options Research 8, 203-228, 1996.

4. Comments on 'A Note on Parameter Estimation in the Two-Factor Longstaff and Schwartz Interest Rate Model' (with Eduardo Schwartz), The Journal of Fixed Income 3, 101-102, March 1994.

5. Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effects (with B.A. Tuckman), Financial Management 23, 21-27, 1994.

6. Implementation of the Longstaff-Schwartz Interest Rate Model (with Eduardo S. Schwartz), The Journal of Fixed Income 3, 7-14, September 1993.

7. The Impact of Transaction Fees and Taxes on Trading Volume and Market Liquidity, The Journal of Financial Engineering 2, 15-17, 1993.

8. Interest Rate Volatility and Bond Prices (with Eduardo S. Schartz), Financial Analysts Journal 49, 70-74, July-August 1993.

9. The Benefits and Costs of Dual Trading, The Journal of Financial Engineering 2, 51-54, 1993.

10. A Two-Factor Interest-Rate Model and Contingent Claims Valuation (with Eduardo S. Schwartz), The Journal of Fixed Income 2, 16-23, December 1992.

11. Pricing Options on Agricultural Futures: An Application of the Constant Elasticity of Variance Option Pricing Model, The Journal of Futures Markets, 247-258, Summer 1985.

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