Overview
biography
- Dr. Barber has taught at Florida International University for over ten years. His research has been published in various journals including the Journal of Portfolio Management; Financial Review; Insurance: Mathematics and Economics; Journal of Financial Research; Journal of Fixed Income; Decision Sciences; Journal of Economics and Finance; and Journal of Business Finance and Accounting. He has also presented his research to several associations and conferences; namely, the Financial Management Association, Eastern Finance Association, International Conference on Financial Econometrics, and Australian Finance and Banking Conference.
research interests
- Derivative Securities; Interest Rate Risk Management; Valuation
Scholarly & Creative Works
selected scholarly works & creative activities
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Article
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2023Duration gap with multiple liabilities for nonparallel shiftsFull Text via DOI: 10.1007/s13385-022-00329-x Web of Science: 000863126600001
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2023Empirical Test of Multiple-Liability Immunization ConditionsFull Text via DOI: 10.3905/jfi.2023.1.168
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2021Power law bond price and yield approximationFull Text via DOI: 10.1108/JRF-10-2020-0217 Web of Science: 000736213400001
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2021Empirical analysis of term structure shiftsFull Text via DOI: 10.1007/s12197-020-09521-9 Web of Science: 001063526300006
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2012Principal component analysis of yield curve movementsFull Text via DOI: 10.1007/s12197-010-9142-y
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2011Credit Spread Changes and Equity Volatility: Evidence from Daily Data. FINANCIAL REVIEW. 46:357-383.Full Text via DOI: 10.1111/j.1540-6288.2011.00304.x Web of Science: 000210715400002
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2005Bond Option Valuation for Non-Markovian Interest Rate Processes. FINANCIAL REVIEW. 40:519-532.Full Text via DOI: 10.1111/j.1540-6288.2005.00122.x Web of Science: 000210686300005
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1999Bond immunization for affine term structures. FINANCIAL REVIEW. 34:127-139.Full Text via DOI: 10.1111/j.1540-6288.1999.tb00458.x
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1998A minimax risk strategy for portfolio immunization. INSURANCE MATHEMATICS & ECONOMICS. 23:173-177.Full Text via DOI: 10.1016/S0167-6687(98)00028-6 Web of Science: 000088110000005
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1997Correction constants for present values of seasonal cash flows. DECISION SCIENCES. 28:225-234.Full Text via DOI: 10.1111/j.1540-5915.1997.tb01309.x Web of Science: A1997YB48200010
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1997Is bond convexity a free lunch? Immunization does not imply risk-free arbitrage profits.. JOURNAL OF PORTFOLIO MANAGEMENT. 24:113-&.Full Text via DOI: 10.3905/jpm.1997.113 Web of Science: A1997YD22600014
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1996Immunization using principal component analysis - An immunization strategy based upon historical term structure shifts.. JOURNAL OF PORTFOLIO MANAGEMENT. 23:99-+.Full Text via DOI: 10.3905/jpm.1996.409574 Web of Science: 000169017500011
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1994PROJECT HOLDING‐PERIOD RATE OF RETURN AND THE MIRR. JOURNAL OF BUSINESS FINANCE & ACCOUNTING. 21:613-618.Full Text via DOI: 10.1111/j.1468-5957.1994.tb00340.x
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1993PREPAYMENT RISK AND THE DURATION OF DEFAULT-FREE MORTGAGE-BACKED SECURITIES. JOURNAL OF FINANCIAL RESEARCH. 16:1-9.Web of Science: A1993KY36500001
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Conference
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2005Second generation wavelet transforms of yield curve shifts. 895-898.Web of Science: 000233670801083
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Preprint
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2012Credit Spreads and Regime Shifts: Evidence from the 2008 Financial CrisisFull Text via DOI: 10.2139/ssrn.2154753
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Works By Students
chaired theses and dissertations
Contact
full name
- Joel Barber
Identifiers
ORCID iD
- https://orcid.org/0000-0003-4126-1154 (confirmed)
