Distinguished Professor of Finance, Allstate Chair in Insurance and Finance, Area Chair
Francis A. Longstaff is a certified public accountant and a chartered financial analyst. He was head of fixed income derivative research at Salomon Brothers Inc. in New York and also worked in the research department of the Chicago Board of Trade and for Deloitte and Touche as a management consultant. Several of his recent term structure papers have focused on the expectations hypothesis. His research in the area of derivatives has focused on the valuation of American options by simulation and on the valuation of interest rate derivatives in string models of the term structure. Many of his valuation models have been used widely on Wall Street and throughout the global financial markets.
They don’t trade at an absolute equal to intrinsic value, despite their image as the world’s investment bedrock
Analysis uses business credit card loans to gauge market perception
Though defaults are low, rates on credit card loan-backed notes are high
The government’s floating rate notes feature an added measure of security: higher interest earnings in times of rising rates
A model estimates the impact of economic variables on the pricing of prepayment risk
Real-world bond data reveals how the capital positions and liquidity of middlemen affect prices of securities they broker