“Treasury Bond and Note Futures: How the Delivery Option Affects ... “A General
Model for Hedging Swaps with Eurodollar Futures,” The Journal of Fixed ... The
Investment Reader, Kolb Publishing Company, Miami, Florida, 1991 and
Stephen.
VITA RICHARD J. RENDLEMAN, JR. Visiting Professor Tuck School of Business at Dartmouth 100 Tuck Hall Hanover, NH 03755
[email protected] Professor Emeritus Kenan-Flagler Business School University of North Carolina Chapel Hill, NC 27599-3490 (919) 962-3188
[email protected] EDUCATION University of North Carolina, Chapel Hill, North Carolina, Ph.D. in Business Administration, 1976. Duke University, Durham, North Carolina, A.B. in Accounting, 1971. ACADEMIC POSITIONS Visiting Professor, Tuck School of Business at Dartmouth, winter term 2006, 2008-. Visiting Professor, International MBA Program, Helsinki School of Economics, summer 2006, spring 2007. Professor of Finance, University of North Carolina, Kenan-Flagler Business School, 1987-July 2007. Associate Professor of Finance, University of North Carolina, Graduate School of Business, 1983 to 1987. Associate Professor of Finance, Duke University, Fuqua School of Business, 1980 to 1983. Visiting Professor of Finance, DePaul University, Graduate School of Business, 1979 to 1980. Assistant Professor of Finance, Northwestern University, Graduate School of Management, 1976 to 1979.
2 AWARDS Kenan-Flagler Alumni Merit Award for the Distinguished Alumnus of the UNC Ph.D. Program, November 2004. Henry A. Latane' Award for the Distinguished Alumnus of the UNC Ph.D. Program, May 1997. Best Paper Award, Financial Accounting and Reporting Section of the American Accounting Association (2000), "Option Pricing-Based Bond Value Estimates and a Fundamental Components Approach to Account for Corporate Debt," (with Mary Barth and Wayne Landsman), The Accounting Review (January 1998). PUBLICATIONS “A Model for Valuing Multiple Employee Stock Options Issued by the Same Company,” (with Patrick Dennis), The Journal of Derivatives (forthcoming). “Skill, Luck and Streaky Play on the PGA Tour,” (with Robert Connolly), Journal of the American Statistical Association, March 2008. “Treasury Bond and Note Futures: How the Delivery Option Affects the Contract’s Pricing and Hedging Characteristics,” The Journal of Fixed Income, September 2004. “A General Model for Hedging Swaps with Eurodollar Futures,” The Journal of Fixed Income, June 2004. “Interpolating the Term Structure from Par Yield and Swap Curves,” The Journal of Fixed Income, March 2004. “Covered Call Writing from an Expected Utility Perspective,” The Journal of Derivatives, Spring 2001. "Implementation of an Option-Pricing Based Valuation Model for Corporate Debt and its Components" (With Mary Barth and Wayne Landsman), Accounting Horizons, December 2000. “First Derivatives National Bank: A Case Problem in the Management of Interest Rate Risk,” The Journal of Risk, 1999 (volume 1, no. 3) “Duration-Based Hedging with Treasury Bond Futures,” The Journal of Fixed Income, June 1999. “Option Investing from a Risk-Return Perspective,” The Journal of Portfolio Management, May 1999.
3
"Option Pricing-Based Bond Value Estimates and a Fundamental Components Approach to Account for Corporate Debt," (with Mary Barth and Wayne Landsman), The Accounting Review, January 1998, winner of Best Paper Award, American Accounting Association, Financial Accounting and Reporting Section, 2000. "An LP Approach to Synthetic Option Replication with Transaction Costs and Multiple Security Selection," (with Patrick Dennis) Advances in Futures and Options Research, JAI Press, 1995. “An LP Approach to Option Portfolio Selection," Advances in Futures and Options Research, JAI Pres, 1995. "How Risks are Shared in Interest Rate Swaps," Journal of Financial Services Research, Volume 7, No. 1 (1993). "Share and Share Unlike," Risk, February 1993. "A Reconciliation of Potentially Conflicting Approaches to Hedging with Futures," Advances in Futures and Options Research, Edited by Donald Chance and Robert Trippi, Volume 6, 1993. "How to Avoid Getting Taken in Listed Options," (with Richard McEnally) AAII Journal (American Institute of Individual Investors), February 1990, reprinted in Robert W. Kolb, The Investment Reader, Kolb Publishing Company, Miami, Florida, 1991 and Stephen Lofthouse, Readings in Investments, John Wiley and Sons, Chichester, West Sussex, England. "Volatility Misestimation in Option Replication Portfolio Insurance," (with Tom O'Brien), Financial Analysts Journal, May/June 1990. "Assessing the Costs of Portfolio Insurance," (with Richard McEnally), The Financial Analysts Journal, May/June 1987, reprinted in: CFA Readings in Derivative Securities, The Institute of Chartered Financial Analysts; CFA LEVEL III Study Guide, 1988; Robert W. Kolb, The Financial Derivatives Reader, Kolb Publishing Company, 1992. "A Test of Market Efficiency in Government Bonds," (with Robert M. Conroy), The Journal of Portfolio Management, Summer 1987. "Further Insight Into the SUE Effect: Size and Serial Correlations Effects," (with Charles P. Jones and Henry Latané), The Financial Review, February 1987. "Portfolio Insurance: Is It Worth the Cost?," (with Richard McEnally) AAII Journal (American Institute of Individual Investors), September 1987, Volume IX, Number 8.
4 "Assessing the Costs of Portfolio Insurance," (with Richard McEnally) Reply to Rubinstein, The Financial Analysts Journal, November/December 1987. "Commentary on the Effects of Stock Index Futures Trading on the Market for Underlying Stocks," Review of Research in Futures Markets, Vol. 5, No. 3, 1986. "Earnings Announcements: Pre and Post-Responses," The Journal of Portfolio Management, Spring 1985, abstracted in The CFA Digest, Fall 1985. "Stock Returns and SUEs During the 1970's," (with Charles P. Jones and Henry Latané), The Journal of Portfolio Management, Winter 1984. "Pricing Commodities When Both Price and Output are Uncertain," (with Robert M. Conroy), The Journal of Futures Markets, Winter 1983. "Commentary on the Relationship Between Futures and Cash Prices for U.S. Treasury Bonds," (by Bruce Resnick and Elizabeth Hennigar), Review of Research in Future Markets, Volume 2, No. 3, 1983. "Empirical Anomalies Based on Unexpected Earnings and the Importance of Risk Adjustments," (with Charles P. Jones and Henry A. Latané), Journal of Financial Economics, November 1982. "Option Prices as Predictors of Equilibrium Stock Prices," (with Steven Manaster), The Journal of Finance, September 1982. "The Pricing of Options on Debt Securities," (with Brit J. Bartter), Journal of Financial and Quantitative Analysis, March 1980. "Optimal Long Run Option Investment Strategies," Financial Management, Spring 1981. "Two-State Option Pricing," (with Brit J. Bartter), The Journal of Finance, December 1979, reprinted in: Chen Few Lee, Financial Analysis and Planning: Theory and Application, A Book of Readings, Addison-Wesley; Robert W. Kolb, The Financial Derivatives Reader, Kolb Publishing Company, 1992. "The Efficiency of the Treasury Bill Futures Market," (with Christopher E. Carabini), The Journal of Finance, September 1979, reprinted in Gerald D. Gay and Robert W. Kolb, Interest Rate Futures: Concepts and Issues, Robert F. Dame, Inc. and Readings in Financial Markets, Vol. V: Selected Writings on Future Markets: Explorations in Financial Futures, The Chicago Board of Trade, 1985. "Fee-Based Pricing of Fixed Rate Bank Loan Commitments," (with Brit J. Bartter), Financial Management, Spring 1979.
5 "Ranking Errors in CAPM Capital Budgeting Applications," Financial Management, Winter 1978. "The Effects of Default Risk on the Firm's Investment and Financing Decisions," Financial Management, Spring 1978, reprinted in Chen Few Lee, Financial Analysis and Planning: Theory and Application, A Book of Readings, Addison-Wesley, 1983. "Standard Deviations of Stock Price Ratios Implied in Option Prices," The Journal of Finance, May 1976 (with Henry A. Latané), reprinted in: CFA Readings in Derivative Securities, The Institute of Chartered Financial Analysts, 1988; Robert W. Kolb, The Financial Derivatives Reader, Kolb Publishing Company, 1992. RECENT WORKING PAPERS “A Simulation-Based Assessment of Cross-Sectional CAPM Testing Methodology” (with Robert Connolly), June 2008. “How Dominant and Intimidating is Tiger Woods, and Does Phil Mickelson Really Choke” (with Robert Connolly), June 2008. WORK IN PROGRESS “Going for the Green: A Simulation Study of Qualifying Success Probabilities in Professional Golf” (with Robert Connolly). BOOK Applied Derivatives: Options Futures and Swaps, Blackwell Publishers, 2002. RECENT PRESENTATIONS University of North Carolina (July 2008), Dartmouth College (Applied Statistics Seminar, May 2008), University of Connecticut (October 2006).
