Professor Robin Grieves
Tel 479 8114
Room: Commerce 510
Email: rgrieves@business.otago.ac.nz
Web: www.goingkiwi.typepad.com
Inaugural Professorial Lecture - 3 September 2008
2010 Teaching
- BSNS108 Business Finance (information to be confirmed)
- FINC310 Fixed Income Security Analysis
Research Interests
Robin's research interests include fixed income, derivatives/financial engineering, portfolio management, international finance and applied investment.
Selected Publications
“Duration Crossovers: An Anomoly Explained,” Journal of Applied Finance, forthcoming, (with Zhanying Li and Mark D. Griffiths)
“Delivery Options and Treasury-Bond Futures Hedge Ratios”, Journal of Derivatives, Winter, 2005 (with Alan J. Marcus)
“An Overlooked Coupon Effect in Treasury Futures Contracts”, Journal of Derivatives, Winter, 2004 (with Steven V. Mann)
A Wall Street Internship: Volume 1— Introduction to Fixed Income Analytics, South-Western, 2004 (with Mark D. Griffiths)
“Butterfly Trades: Weighting the Trades and Weighting and Interpreting Their Yield Spreads”, Journal of Portfolio Management, Fall, 1999
“Fungible STRIPS for the US Treasury's Inflation-Indexed Securities”, The Journal of Fixed Income, Summer, 1999 (with Michael W. Sunner)
“Riding the Bill Curve”, Journal of Portfolio Management, Spring, 1999 (with Steven V. Mann, Alan J. Marcus, and Pradipkumar Ramanial)
"Riding the Yield Curve: Reprise," Journal of Portfolio Management, Summer, 1992 (with Alan J. Marcus)
"Determining Optimal Portfolio Mix: A New Approach," Journal of Portfolio Management, Spring, 1989 (with Shahriar Khaksari and Ravindra Kamath)
1987 Report to Congress on The Federal National Mortgage Association, U.S. Department of Housing and Urban Development, September, 1987 (co-author)
"Analytical Methods of the All-America Research Team," Journal of Portfolio Management, Fall, 1987 (with J. Clay Singleton)
"Hedging Corporate Bond Portfolios," Journal of Portfolio Management, Summer, 1986 (reprinted in Peter L. Bernstein and Frank J. Fabozzi (ed), Streetwise, The Best of the Journal of Portfolio Management, Princeton University Press, 1998)
"Synthetic Puts and Portfolio Insurance Strategies," Journal of Portfolio Management, Spring, 1984 (with J. Clay Singleton)
"The Demand for Consumer Durables," Journal of Money, Credit and Banking, August, 1983
"Sunspots and Cycles: A Test of Causation," Southern Economic Journal, January, 1982 (with Richard G. Sheehan)