… I would like to express my gratitude to Sanjay Nawalkha. His good judgment and his ability
to bring out the best in everyone involved have undoubtedly been the driving force behind …

… Nawalkha and Donald R. Chambers … Nawalkha is an assistant professor in the Robert G.
Merrick School of … and Vasicek (1984) and can be obtained from Nawalkha and Chambers. …

… As demonstrated by Nawalkha and Beliaeva [2007a], the equation for … Nawalkha and Beliaeva
(NB) correct this error and also … Nawalkha is also the president and founder of Nawalkha …

… In this article, Beliaeva and Nawalkha show how to get around the problem by transforming
the returns process tO create two uncorrelated path~independent trees for returns and …

This article derives and tests a multiple-factor extension of the M-square model (see Fong
and Vasicek [1984] and Fong and Fabozzi [1985]), termed as the M-vector model. Tests of the …

This paper generalizes the M-square and M-vector models [Fong and Fabozzi, Appendix E:
Derivation of Risk Immunization Measures, in: Fixed Income Portfolio Management, Dow …

A well‐known problem in finance is the absence of a closed form solution for volatility in
common option pricing models. Several approaches have been developed to provide closed …

We present a simple expression for the sensitivity of duration, convexity, and higher-order
bond risk measures to changes in term-structure shape parameters. Our analysis enables fixed…

This paper presents efficient binomial and trinomial trees for the Cox, Ingersoll, and Ross (CIR)
and the constant-elasticity-of-variance (CEV) short rate models. We correct an error in the …

This paper tests empirically whether convexity is return enhancing (the traditional view based
upon parallel term structure shifts), or return diminishing (the equilibrium view suggesting …