Selected and Recent Publications
(also includes accepted for publication)Medical Ethics and Economic Medicalization
This paper will be published as a chapter in the forthcoming
Medical Ethics , Peter Clark (ed.), Intech Publishing (2012)
From the Renaissance Exchanges to Cyberspace: A History of Stock Market Globalziation
This paper will be published as chapter 3 in the
Research Handbook on Stock Market Globalization , Geoffrey Poitras (ed.), Edward Elgar Publishing (2011)
Richard Price, Miracles and the Origins of Bayesian Decision Theory
This article has been accepted for publication in
the European Journal of the History of Economic Thought (2013 forthcoming).
What Happened May 6, 2010? Anatomy of the Flash Crash
This paper will be published as chapter 11 in the
Research Handbook on Stock Market Globalization , Geoffrey Poitras (ed.), Edward Elgar Published (2011).
Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests
(with Ariful Hoque and Meher Manzur)
This article has been accepted for publication in the International Journal of Banking and Finance (2010).
Pioneers of Financial Economics: Das Adam Smith Irrelevanzproblem?
(with Franck Jovanovic)
This article has been accepted for publication in the History of Economics Review (2010 forthcoming)
Arbitrage: Historical Perspectives
This article has been accepted for publication in the
Encyclopedia of Quantitative Finance (forthcoming 2010)
'How's the Stock Market Doing?' Using Absence of Arbitrage to Measure Stock Market Performance
(with John Heaney)
This paper has been accepted for publication at The Annals of Financial Economics
From Antwerp to Chicago: The History of Exchange Traded Derivative Security Contracts
To be published in the Revue d'Histoire des Sciences Humaines
(Journal for the History of the Social Sciences) (2009 forthcoming)
Business Ethics, Medical Ethics and Economic Medicalization
Published in the International Journal of Business Governance and Ethics (2009)
The Early History of Option Contracts
To appear in Hafner and Zimmermann,
Vincenz Bronzin's Option Pricing Models: Exposition and Appraisal
New York, Springer-Verlag (2009 forthcoming)
Ethical Transparency and Government Regulation of Canada's Medical Research Industry
(with Lindsay Meredith)
This paper has been accepted for publication in the Forum on Public Policy (2008).
European Put-Call Parity and the Early Exercise Premium for American Currency Options
(with Chris Veld and Yuriy Zabolotnyuk)
This paper has been accepted for publication in the Multinational Finance Journal (2008).
Ethical Transparency and Economic Medicalization
(with Lindsay Meredith)
This paper has been accepted for publication in the Journal of Business Ethics (2008).
Immunization Bounds, Time Value and Non-Parallel Yield Curve Shifts
This paper has been accepted for publication in Insurance and Risk Management (2007).
Risk and Futures Markets and Forward Markets
These papers will appear as entries in the
International Encyclopedia of the Social Sciences, 2nd ed., New York: Macmillan Reference, (2008).
Accounting Standards for Employee Stock Option Disclosure
This paper will be published in International Journal of Business Governance and Ethics (vol.3, 2007,p.473-87).
An earlier version of this paper appeared in the Ukranian journal Corporate Ownership and Control vol. 5, Aug. (2007).
Put-Call Parity and the Early Exercise Premium for Currency Options
(with Chris Veld and Yurij Zabolotnyuk)
This paper has been accepted for publication in the Review of Futures Markets (2007, forthcoming).
Frederick R. Macaulay, Frank M. Redington and the Emergence of Modern Fixed Income Analysis
This paper will be published as Chapter 4 in Pioneers of Financial Economics , Vol.II,
Geoffrey Poitras (ed.), Edward Elgar Publishing (2007).
More on the Correct Use of Omnibus Tests for Normality
This paper has been published in Economics Letters (2006)
An earlier version of this paper with a description of the D'Agostino test can be found in the previous version
Life Annuity Valuation: From de Witt and Halley to de Moivre and Simpson
This paper will be published as Chapter 4 in Pioneers of Financial Economics , Vol.I
Geoffrey Poitras (ed.) Edward Elgar Publishing (2006).
Duvillard's "Recherches sur les Rentes" (1787) and the Modified Internal Rate of Return
(with Yuri Biondi and Jeff d'Avignon)
This paper will be published as Chapter 6 in Pioneers of Financial Economics , Vol.I,
Geoffrey Poitras (ed.), Edward Elgar Publishing (2006).
Isaac Le Maire and the Early Trading in Dutch East India Company Shares
(with J. van Dillen and Asha Majithia)
The paper will be published as Chapter 3 in Pioneers of Financial Economics , Vol.I,
Geoffrey Poitras (ed.), Edward Elgar Publishing (2006).
"Ex-Dividend Date Pricing of U.S. Closed-End Bond Funds "
(with George Blazenko)
This paper has been published in International Journal of Finance (2004) vol.16: 2941-2963..
"Executive Stock Option Disclosure: Are Current Accounting Standards Adequate?"
This paper has been published in the Corporate Finance Review (2004) vol.9, no.2: 5-19.
William Lowndes (1652-1724)
and
Walter Boyd (1753?-1837)
Contributions to the Biographical Dictionary of British Economists
Donald Rutherford (ed.), Bristol, UK: Thoemmes Press (2004).
The Philosophy of Investment: A Post Keynesian Perspective
This paper has been published in the Journal of Post Keynesian Economics (2002)
Short Sales Restrictions, Dilution, and Rights Issues on the Stock Exchange of Singapore
This paper has been published in the Pacific Basin Finance Journal (2002)
The Crack Spread: Day Trading Energy Futures Contracts
(with Albert Teoh)
This paper has been published in Derivatives Use, Trading and Regulation (Henry Stewart Publications) (2003)
-- journal of the Futures and Options Association.
The Timing of Asset Sales: Evidence of Earnings Manipulation?
(with Trevor Wilkins and Y.S. Kwan)
This paper has been published in the Journal of Business, Finance and Accounting (2002).
Skewness Preference, Mean Variance and the Demand for Put Options
(with John Heaney)
This paper was published in Managerial and Decision Economics (1999).
Spread Options, Exchange Options and Arithmetic Brownian Motion
This paper was published in the Journal of Futures Markets (1998).
Robert Torrens and the Evolution of the Real Bills Doctrine
This paper was published in the Journal of the History of Economic Thought (1998).
TED Tandems: Arbitrage Configurations for the US Treasury Bill/Eurodollar Futures Spread
This paper was published in the International Review of Economics and Finance (1998)
Tails, Turtles and Stereos
My article from the Journal of Derivatives , (Winter 1997).
Please note there are a number of typos in this article which need to be corrected. The corrections can be found here
Securities Markets, Diffusion State Processes, and Arbitrage-Free Shadow Prices
(with John Heaney)
This paper was published in the Journal of Financial and Quantitative Analysis (1994)
"Shareholder Wealth Maximization, Business Ethics and Social Responsibility",
This paper was published in the Journal of Business Ethics (1994)
Hedging and Crop Insurance
This paper was published in the Journal of Futures Markets (1993)
Putting on the Crush: Further Evidence on the Soybean Complex Spread
(with Dominic Rechner)
This paper was published in the Journal of Futures Markets (1993).
The When-Issued Market for Government of Canada Treasury Bills
This paper was published in the Canadian Journal of Economics (1991)
Estimation of the Optimal Futures Hedge, Expected Utility and Ordinary Least Squares Regression
(with John Heaney)
This paper was published in the Journal of Futures Markets (1991)
The Distribution of Gold Futures Spreads
This paper was published in the Journal of Futures Markets (1990)
Do Changes in Debt Maturity Composition Affect the Term Structure? Some Canadian Evidence
This paper was published in Applied Economics (1989).
"The Market Value of Government of Canada Debt: A Comment on the Valuation of Non-Marketable Debt"
This paper was published in the Canadian Journal of Economics (1989).
Optimal Futures Spread Positions
This paper was published in the Journal of Futures Markets (1989)
Arbitrage Boundaries, Treasury Bills, and Covered Interest Parity
This paper was published in the Journal of International Money and Finance (1988)
Golden Turtle Tracks: In Search of Unexploited Profits in Gold Spreads
This paper was published in the Journal of Futures Markets (1987)
Works Under Submission
Ergodicity: A Econophysics Primer
Under submission at Physica A
Transition Density Decomposition and the Generalized Pearson Distributions
This paper is under submission at
Works Presented or to be Presented
Richard Price, Miracles and the Origins of Bayesian Decision Theory
This paper to be presented at the 2011 Annual Meetings of
the History of Economics Society, Notre Dame University, June 20, 2011
The .pptx for the presentation can be found HERE .
Put-Call Parity, Transaction Costs and PHLX Currency Options: Intra-daily Tests
(with Ariful Hoque and Meher Manzur)
This paper to be presented (by Meher Manzur) at the 59th Annual Meeting of
the Midwest Finance Association, Las Vegas, NV, Feb. 26, 2010.
Life Annuity Valuation: from de Witt and Halley to de Moivre and Simpson
This paper was presented at the Ohio State University, Nov. 14, 2008
The .ppt of the presentation is also in the .zip file.
Ethical Transparency and Government Regulation of Canada's Medical Research Industry
(with Lindsay Meredith)
This paper was presented at the 20th Annual Oxford Roundtable, Wednesday, March 26, 2008 at Oxford University, UK.
The .ppt of the presentation can be found HERE .
Pioneers of Financial Economics: Das Neu Adam Smith Problem?
(with Franck Jovanovic)
This is the paper presented at the joint American Finance Association/ History of Economics Society meetings
in New Orleans, Jan. 4, 2008 and Stirling University, Mar. 20, 2008. Click here for a .ppt of the presentation
Accounting Standards for Employee Stock Option Disclosure
This is the .ZIP file with the presentation .ppt and the paper given at the McMaster World Congress on Corporate Governance, 24/1/07.
"'How's the Stock Market Doing?' Using Absence of Arbitrage to Measure Stock Market Performance",
This is the presentation and paper given at the Brock University, Faculty of Business Luncheon Speakers Series 25/1/07
and at the UBC Finance Workshop, 13/12/02.
Put-Call Parity and the Early Exercise Premium for Currency Options
(with Chris Veld and Yuriy Zabolotnyuk)
Paper presented at the 2006 meetings of the Multinational Finance Society, Edinburgh, UK, June 24-27, 2006. Click here for a .ppt of the presentation
Immunization Bounds, Time Value and Non-Parallel Yield Curve Shifts
Paper to be presented at the 2005 meetings of the Southern Finance Association, Key West, FL, Nov.16-19,2005. Click here for a .zip with the .ppt
"Currency Swaps, Fully Hedged Borrowing and Long Term Covered Interest Arbitrage"
Paper to be presented at the 11th Annual Meetings of the Multinational Finance Society, Istanbul, Turkey, July 3-8, 2004.
Executive Stock Option Disclosure: Is FAS 123 Adequate?
Paper presented to the SFU Accounting Workshop 26/3/04 Click here for .ppt of presentation
Absence of Arbitrage, Detrending and Rational Stock Prices
This paper was presented to the Department of Finance and Accounting Research Workshop, University of Lancaster, Lancaster, UK, 6/02