Donald J. Smith

Boston University - Department of Finance & Economics

Associate Professor of Finance

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.

Valuing Interest Rate Swaps Using OIS Discounting

Boston U. School of Management Research Paper No. 2012-11
Number of pages: 26 Posted: 09 Apr 2012 Last Revised: 12 Jul 2012
Donald J. Smith
Boston University - Department of Finance & Economics
Downloads 4,789 (771)

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overnight indexed swap, interest rate swap, risk management, LIBOR

2.

Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation

Number of pages: 38 Posted: 18 Oct 2014 Last Revised: 15 Jul 2015
Donald J. Smith
Boston University - Department of Finance & Economics
Downloads 1,969 (442)

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interest rate, derivatives, valuation, credit risk

3.

Alternative Designs for Inflation-Indexed Bonds: P-Linkers vs. C-Linkers

Boston U. School of Management Research Paper No. 2009-15
Number of pages: 34 Posted: 19 Mar 2009 Last Revised: 27 Mar 2012
Donald J. Smith
Boston University - Department of Finance & Economics
Downloads 136 (167,640)

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4.

Pre‐Issuance Hedging of Fixed‐Rate Debt

Journal of Applied Corporate Finance, Vol. 23, Issue 4, pp. 102-112, 2011
Number of pages: 13 Posted: 22 Dec 2011
James Adams and Donald J. Smith
JP Morgan Chase Bank and Boston University - Department of Finance & Economics
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5.

Synthetic Floating‐Rate Debt: An Example of an Asset‐Driven Liability Structure

Journal of Applied Corporate Finance, Vol. 25, Issue 4, pp. 50-59, 2013
Number of pages: 12 Posted: 23 Dec 2013
James Adams and Donald J. Smith
JP Morgan Chase Bank and Boston University - Department of Finance & Economics
Downloads 1 (561,825)
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6.

Interest Rate Swap Valuation since the Financial Crisis: Theory and Practice

Number of pages: 22 Posted: 07 Feb 2017 Last Revised: 15 Jun 2017
Ira G. Kawaller and Donald J. Smith
Kawaller & Company, LLC and Boston University - Department of Finance & Economics
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Interest Rate Swap Valuation

7.

Bad Bond Math: An Object Lesson Using Bloomberg’s After-Tax Yields on Market Discount Bonds

Boston U. School of Management Research Paper No. 2011-14
Posted: 19 Oct 2011 Last Revised: 09 Jan 2013
Donald J. Smith
Boston University - Department of Finance & Economics

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Bond Math, Bloomberg, After-Tax Yields

8.

Perspectives: Hidden Debt: From Enron’s Commodity Prepays to Lehman’s Repo 105s

Financial Analysts Journal, Vol. 67, No. 5, 2011
Posted: 30 Sep 2011
Donald J. Smith
Boston University - Department of Finance & Economics

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Financial Statement Analysis, Accounting and Auditing Standards Development, Auditing Standards, Analysis of Off-Balance-Sheet Assets and Liabilities, Disclosure of Off-Balance-Sheet Liabilities, Analysis of Financial Instruments, Derivatives, and Hedging Activities

9.

Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration

Financial Analysts Journal, Vol. 65, No. 4, 2009
Posted: 09 Oct 2009
James Adams and Donald J. Smith
JP Morgan Chase Bank and Boston University - Department of Finance & Economics

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Portfolio Management: Asset/Liability Management, Risk Measurement and Management: Equity Portfolios, Fixed-Income Portfolios

10.

A Note on the Derivation of Closed-Form Formulas for Duration and Convexity Statistics on and between Coupon Dates

Journal of Financial Engineering, Vol. 7, No. 2, June 1998
Posted: 26 Aug 1998
Donald J. Smith
Boston University - Department of Finance & Economics

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11.

Aggressive Corporate Finance: A Close Look at the Procter & Gamble-Bankers Trust Leveraged Swap

J. OF DERIVATIVES, Summer 1997
Posted: 31 Jul 1997
Donald J. Smith
Boston University - Department of Finance & Economics

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