A Review of No Arbitrage Interest Rate Models, with J. Sochacki and F. Fabozzi, Encyclopedia of Financial Models, forthcoming, 2012.

Transcription

1 A Review of No Arbitrage Interest Rate Models, with J. Sochacki and F. Fabozzi, Encyclopedia of Financial Models, forthcoming, "Measuring Interest Rate Risk," with Fabozzi, Johnson, and Henderson, The Handbook of Fixed Income Securities, McGraw Hill, An Empirical Analysis of Exchange Traded Funds, with B. Henderson, Journal of Portfolio Management, forthcoming, Summer Valuation of Interest Rate Swaps and Swaptions, with B Henderson, The Handbook of Fixed Income Securities, McGraw Hill, Term Structure Modeling With No-Arbitrage Interest Rate Models, with B Henderson, The Handbook of Fixed Income Securities, McGraw Hill, Interest Rate Risk, with F. Fabozzi and B. Henderson, The Handbook of Fixed Income Securities, McGraw Hill, Monetary Policy and Interest Rate Factors, with F. Fabozzi and B. Henderson, Journal of Fixed Income, Fall Jersey. Interest Rate Swaps, with F. Fabozzi, Handbook of Finance, 2008, John Wiley and Sons, New Valuation of Plain Vanilla Swaps, with F. Fabozzi, Handbook of Finance, 2008, John Wiley and Sons, New Jersey. Valuation of Forward Rate Swaps and Swaptions, with F. Fabozzi, Handbook of Finance 2008, John Wiley and Sons, New Jersey.

2 Effective Duration and Effective Convexity, with R. Johnson, Handbook of Finance, 2008, John Wiley and Sons, New Jersey. Term Structure Modeling, with B. Henderson, Professional Risk Management Handbook, A Note on Commonly Used Interest Rate Risk Metrics, with F. Fabozzi and B. Hanke, Journal of Fixed Income, September An Evaluation of the Developmental Issues and Potential for Real Estate Derivatives, with J. Albert, Journal of the Academy of Finance, Spring The Real Estate Asset Allocation Decision: Monetary Policy Implications, with R. Johnson, Journal of Real Estate Portfolio Management, Winter The Effects of Different Interest Rate Models on Interest Rate Risk Metrics, with B. Hanke and F. Fabozzi, Journal of Fixed Income, Winter "Monetary Policy and Fixed Income Returns," with R. Johnson, F. Reilly, and G. Jensen, The Quarterly Review of Economics and Finance, Winter The Benefits of Rebalancing, with R. Sellers, D Trotter, and E. Hunt, The Journal of Portfolio Management, Winter Using the Lattice Model to Value Forward Start Swaps and Swaptions, with F. Fabozzi, Interest Rates, Term Structure Models, and Valuation Models, Frank J. Fabozzi, Ed., A Review of No Arbitrage Interest Rate Models, with J. Sochacki and F. Fabozzi, Interest Rates, Term Structure Models, and Valuation Models, Frank J. Fabozzi, Ed., Incorporating Implied Volatility into Contingent Claim Valuation, International Mathematical Journal, Fall The Dangers in using Return Based Style Analysis in Asset Allocation, with Hal Ratner, Journal of Wealth Management, Summer Equity Styles and Federal Reserve Policy, with R. Johnson and G. Jensen, Journal of Private Portfolio Management, Spring Interest Rate Sensitivity of Equity Mutual Funds, with A. Lipton, Journal of Private Portfolio Management, Spring 2000.

3 The Inconsistency of Return-Based Style Analysis and its Implications, with R. Johnson and D. Runkle, Journal of Portfolio Management, Spring "Measuring Interest Rate Risk" with R. Johnson and F. Fabozzi, 2001, The Handbook of Fixed Income Securities, 6 th Ed, Frank J. Fabozzi, Ed.. A Primer on Effective Duration and Convexity, with R. Johnson, 2001, Professional Perspectives on Fixed Income Portfolio Management, Frank J. Fabozzi, Ed. The Tradeoffs Between Alternative Finite Difference Techniques Used to Price Derivative Securities, with J. Sochacki, October 2000, Journal of Applied Mathematics and Computation. Mutual Fund Asset Allocation The Investment Implications of Federal Reserve Monetary Policy, with R. Johnson, Summer 2001, Journal of Investing. International Mutual Fund Returns and Federal Reserve Policy, with R. Johnson, Winter 1999, Financial Services Review. A Model for an Undergraduate Program in Quantitative Finance: The James Madison University Experience, with J. Albert,A. Francfort, and H. Hobson, Spring 1999, Journal of Financial Education. Financial Engineering Applications in Real Estate, with J. Albert, Winter 1999, Real Estate Finance Journal. Ratchet Options: An Evaluation, Journal of Financial and Strategic Decisions, Fall A Continuous Time Pricing Model for Embedded Options in Leases and Real Estate Sale Contracts, with J. Albert, Journal of Real Estate Research., Winter Pricing Contingent Claims Using a More Accurate Finite Difference Method, with and J. Sochacki, Journal of Applied Mathematics and Computation, Spring An Empirical Evaluation of the Information Signaling and Financial Distress Hypotheses, Journal of Financial and Strategic Decisions, Spring Managing Risk with Derivatives, co-authored with C. Baril and R. Benke, Managerial Accounting, Fall 1996.**

4 A Finite Difference Approach to the Pricing of Options Using Absorbing Boundary Conditions, with J. Sochacki, Journal of Financial Engineering, September 1995, An Alternative Call Policy for Convertible Debt, with S. Buell, Journal of Financial and Strategic Decisions, Fall 1995, A Comparative Analysis of Bridge Deterioration Rates, Co-authored with D. Veshosky and C. Beidleman, Journal of Structural Engineering, July 1994, An Empirical Study of the Deterioration of American Bridges, Coauthored with C. Beidleman and D. Veshosky, NSF Research Report, ATLSS Engineering Research Center, Lehigh University, Term Structure Modeling Using Binomial Trees, with James Sochacki, AIMR Research Foundation, Fall Valuation of Interest Rate Swaps and Swaptions, with Frank J. Fabozzi, John Wiley & Sons, 2000.

5 The information provided comes from independent sources believed reliable, but accuracy is not guaranteed and has not been independently verified. The security information, portfolio management and tactical decision process are opinions of Innealta Capital (Innealta), a division of Al Frank Asset Management, Inc. and the performance results of such recommendations are subject to risks and uncertainties. For more information about Al Frank Asset Management please visit afamcapital.com. Past performance is not a guarantee of future results. Any investment is subject to risk. Exchange traded funds (ETFs) are subject to risks similar to those of stocks, such as market risk, and investors that have their funds invested in accordance with the portfolios may experience losses. Additionally, fixed income (bond) ETFs are subject to interest rate risk which is the risk that debt securities in a portfolio will decline in value because of increases in market interest rates. The value of an investment and the return on invested capital will fluctuate over time and, when sold or redeemed, may be worth less than its original cost. This material is not intended as and should not be used to provide investment advice and is not an offer to sell a security or a solicitation or an offer, or a recommendation, to buy a security. Investors should consult with an investment advisor to determine the appropriate investment vehicle. Investment decisions should be made based on the investor s specific financial needs and objectives, goals, time horizon and risk tolerance. All opinions and views constitute our judgments as of the date of writing and are subject to change at any time without notice. Al Frank Asset Management, Inc. is an Investment Adviser, registered with the Securities & Exchange Commission and notice filed in the State of California and various other states. For more information, please visit afamcapital.com. Innealta is an asset manager specializing in the active management of portfolios of Exchange Traded Funds. Innealta s competitive advantage is its quantitative investment strategy driven by a proprietary econometric model created by Dr. Gerald Buetow, Innealta s Chief Investment Officer. The firm s products include Tactical ETF Portfolios, a U.S. Sector Rotation Portfolio and a Country Rotation Portfolio. Innealta aims to beat appropriate benchmark performance by tactically managing portfolios utilizing a proprietary econometric model. By harnessing the benefits of ETFs, Innealta is able to provide investors with exposure to multiple asset classes and investment styles in highly liquid, low cost portfolios. For more information, contact Scott Silverman at AFAM Innealta Capital FM 2244 #170 Austin, TX P: F: