• Phone: 617-353-2037
  • E-Mail:  donsmith@bu.edu
  • Website: http://management.bu.edu
  • Office: 522F
  • Office Hours: By Appointment
  • Address: Boston University Questrom School of Business
    595 Commonwealth Avenue
    Boston, MA 02215
  • Education Open or Close

    Ph D, University of California at Berkeley, Business Administration with an emphasis in Economic Analysis and Policy, 1982.

    MBA, University of California at Berkeley, Economics Analysis and Policy, 1979.

    BA, San Jose State University, San Jose, CA, Economics (with Great Distinction), 1970.

    Other, University of Uppsala, Uppsala, Sweden, Study Abroad Program, September 1968 - August 1969, 1969.

  • Current CoursesOpen or Close

    GSM FE822 F1 Fixed Income Markets

    SMG FE429 A1 Futures, Options & Financial Risk Management

    SMG SM455 A1 Management Honors Seminar

  • PublicationsOpen or Close

    Journal Articles:

      Smith, D. J., & Adams, J. (2013). Synthetic Floating-Rate Debt: An Example of an Asset-Driven Liability Structure. Journal of Applied Corporate Finance, 25(4), 50-59. Hoboken.

      Smith, D. J. (2013). Valuing Interest Rate Swaps Using Overnight Indexed Swap (OIS) Discounting. The Journal of Derivatives, 20(4), 49-59. New York.

      Smith, D. J. (2013). Bad Bond Math: An Object Lesson Using Bloomberg's After-Tax Yields on Market Discount Bonds. Journal of Private Wealth Management, 15(Spring 2013), 61-67. New York, NY.

      Smith, D., & Wang, Y. (2012). Implications of Model Risk for Market Microstructure: Pricing and Trading of Illiquid Securities. International Research Journal of Applied Finance, III(6), 704-720.

      Smith, D., & Adams, J. (2011). Pre-Issuance Hedging of Fixed-Rate Debt. Journal of Applied Corporate Finance, 23(4, Fall 2011), 102-112.

      Smith, D. (2011). Hidden Debt: From Enronís Commodity Prepays to Lehmanís Repo 105s. Financial Analysts Journal, 67(5), 15-22. Charlottesville, VA.

      Smith, D. (2010). Bond Portfolio Duration, Cash Flow Dispersion, and Convexity. Applied Economics Letters, 17(16-18), 1669-1672. Abingdon, Oxon.

      Smith, D. (2010). Alternative Designs for Inflation-Indexed Bonds: P-Linkers vs. C-Linkers. Journal of Financial Education, 36(3 or 4), 111-132.

      Smith, D., & Adams, J. (2009). Mind the Gap: Using Derivative Overlays to Hedge Pension Duration. Financial Analysts Journal, 65(4), 60-67. Charlottesville, VA.

      Smith, D. (2009). A Primer on Bond Portfolio Value at Risk. Advances in Financial Education, 7(1 or 2), 1-14. Philadelphia, PA.

      Smith, D., & Wang, Y. (2007). Expected Shortfall and Value-at-Risk: A Closer Look. GARP Risk Review, (36), 12-16.

      Smith, D. (2006). Negative Duration: The Odd Case of GMAC's Floating-Rate Note. Journal of Applied Finance, 16(2), 37-44.

      Smith, D. (2001). Comparing At-the-Money Black-Scholes Call Option Values. Derivatives Quarterly, 7(3),

      Smith, D., & Brown, K. C. (2000). The 'Good Banker/Bad Banker' Exercise. Derivatives Strategy, 5(10),

      Smith, D. (2000). Divided by a Common Language. RiskProfessional, 2(2),

      Smith, D. (1998). A Note on the Derivation of Closed-Form Formulas for Duration and Convexity Statistics On and Between Coupon Dates. Journal of Financial Engineering, 7(2),

      Smith, D. (1997). Aggressive Corporate Finance: A Close Look at the Procter & Gamble--Bankers Trust Leveraged Swap. The Journal of Derivatives, 4(4),

      Smith, D. (1996). A Financial Calculator Program for the Black-Scholes Option Pricing Formula. Derivatives Quarterly, 3(1),

      Smith, D., Brown, K. C., & Harlow, W. V. (1994). An Empirical Analysis of Interest Rate Swap Spreads. Journal of Fixed Income, 3(4), New York, NY.

      Smith, D., & Brown, K. C. (1993). Default Risk and Innovations in the Design of Interest Rate Swaps. Financial Management, 22(2),

      Smith, D., & Daskin, A. J. (1991). Using Implied Forward Rates in the Selection of a CD Maturity. Financial Practice and Education, 1(2),

      Smith, D., & Lummer, S. L. (1991). Accurate Compounding Conversions. Global Investor, 42,

      Smith, D. (1991). Bias at the Short End of the Yield Curve. Global Investor, 41,

      Smith, D., & Brown, K. C. (1990). Forward Swaps, Swap Options, and the Management of Callable Debt. The Journal of Applied Corporate Finance, 2(4),

      Smith, D., & Taggart, R. A. (1989). Bond Market Innovations and Financial Intermediation. Business Horizons, 32(6), New York, NY.

      Smith, D. (1989). The Calculation and Use of Money Market Implied Forward Rates. The Journal of Cash Management, 98(5),

      Smith, D. (1989). Interest Rate Movements and the Credit Risk of Interest Rate Swaps. Commercial Lending Review, 6(3),

      Smith, D., & Brown, K. C. (1989). The Swap-Driven Deal. Intermarket, 6(3),

      Smith, D. (1989). The Arithmetic of Financial Engineering. The Journal of Applied Corporate Finance , 1(4),

      Smith, D. (1988). The Duration of a Bond as a Price Elasticity and a Fulcrum. Journal of Financial Education, 17,

      Smith, D. (1988). An Apartment Story: To Introduce the Study of Spot, Forward and Futures Markets, the Term Structure and Arbitrage. Journal of Economic Education, 19(3),

      Smith, D. (1988). Measuring the Gains from Arbitraging the Swap Market. Financial Executive, 4(2),

      Smith, D. (1988). Credit Union Rate and Earnings Retention Decisions under Uncertainty and Taxation. Journal of Money, Credit, and Banking, 20(1),

      Smith, D., & Brown, K. C. (1988). Recent Innovations in Interest Rate Risk Management and the Reintermediation of Commercial Banking. Financial Management, 17(4),

      Smith, D. (1988). The Pricing of Bull and Bear Floating Rate Notes: An Application of Financial Engineering. Financial Management , 17(4),

      Smith, D. (1987). Risk Efficient Lottery Bets?!. Journal of Portfolio Management, 14(1),

      Smith, D. (1987). The Borrower's Choice Between Fixed and Adjustable Rate Loan Contracts. American Real Estate and Urban Economics Association, 15(2),

      Smith, D. (1987). Putting the Cap on Options. Euromoney Corporate Finance, 26,

      Smith, D. (1986). A Test for Variant Objective Functions in Credit Unions. Applied Economics, 18(9), Abingdon.

      Smith, D., & D'Annolfo, M. (1986). Collateralized Mortgage Obligations: An Introduction. Real Estate Review, 16(1),

      Smith, D. (1986). Retirement Shelters and Tax Reform - Will You Win or Lose?. American Association of Individual Investors Journal, 8(1),

      Smith, D. (1985). A Comment on IRAs and Keoghs. National Tax Journal, 38(1),

      Smith, D. (1984). Individual Retirement Accounts and Intermediate Term Holding Periods. Financial Review, 19(4),

      Smith, D. (1984). A Theoretic Framework for the Analysis of Credit Union Decision-Making. Journal of Finance, 39(4), New York, NY.

      Smith, D. (1984). IRAs and the Breakeven Point. American Association of Individual Investors Journal, 6(3),

      Smith, D. (1983). The Demand for and Supply of Deposits by Credit Unions - The Caisses Populaires' Case: Correction and Comment. Journal of Banking and Finance, 7(2),

      Smith, D., Cargill, T., & Meyer, R. A. (1981). An Economic Theory of a Credit Union. Journal of Finance, 36(2), New York, NY.


      Smith, D. J. (2015). Valuation in a World of CVA and DVA: A Tutorial on Debt Securities and Interest Rate Derivatives. 158. : CreateSpace (an Amazon Subsidiary).

      Smith, D. J. (2014). Bond Math: The Theory Behind the Formulas, 2nd Edition (with Companion Website). : Wiley Finance.

      Smith, D. (2011). Bond Math: The Theory Behind the Formulas. 272. Hoboken, NJ: Wiley Finance.

      Smith, D., Gastineau, G., & Todd, R. (2001). Risk Management, Derivatives, and Financial Analysis Under SFAS 133. : The Research Foundation of the Association for Investment Management and Research.

      Smith, D., & Brown, K. C. (1995). Interest Rate and Currency Swaps: A Tutorial. : The Research Foundation Institute of The Institute of Chartered Financial Analysts.

    Book Chapters:

      Smith, D. J., & Adams, J. (2013). in Introduction to Fixed-Income Valuation (CFA Level One Reading) Charlottesville: CFA Institute, pp 397-466.

      Smith, D. J., & Adams, J. (2013). in Understanding Fixed-Income Risk and Return (CFA Level I Reading) : CFA Institute, pp 469-528.

      Smith, D., & Brown, K. C. (1996). in Structured Swaps, in The Yearbook of Fixed Income Investing 1995, Martin S. Fridson and John D. Finnerty, Editors Chicago: Richard D. Irwin.

      Smith, D. J., & Brown, K. (1992). in Managing Current Assets and Liabilities with Interest Rate Swaps, in Ramesh K.S. Rao, Finanical Management: Concepts and Applications (2). : MacMillan.

      Smith, D., & Brown, K. C. (1992). in Currency Swaps: Quotation Conventions, Market Structures and Credit Risk, in Cross Currency Swaps, ed. Carl R. Beidleman : Business One Irwin.

      Smith, D., & Brown, K. C. (1991). in Plain Vanilla Swaps: Market Structures, Applications and Credit Risk, in Interest Rate Swaps, ed. Carl R. Beidleman : Business One Irwin.

    Working Papers:

    Other Publications:

      Smith, D. (2008). Moving from an Efficient to a Behavorial Market Hypothesis.9(2), 51-52. Philadelphia, PA/Routledge: Journal of Behavioral Finance.

      Smith, D. (2002). Accounting and Reporting for Derivatives and Hedging Transactions.: AIMR Conference Proceedings: Closing the Gap between Financial Reporting and Reality.

      Weil, D., Brush, C., & Smith, D. (1999). Public / Private / Non-Profit: Shifting Perimeters, Emerging Opportunities. 27-29.: The Manager.

  • Research PresentationsOpen or Close

    Invited Lectures:

      Smith, D. J. (Author Only). 14th Annual Conference Financial Risk, Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation, Asabancaria (Colombian Association of Commercial Banks), Cartagena, Colombia. (August 22, 2016).

      Smith, D. J. (Author Only). Financial Education Association, Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation, Financial Education Association, Savannah, Georgia. (September 19, 2014).

      Smith, D. J. (Author Only). Boston Security Analysts Society, Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation, Boston Security Analysts Society, Boston, MA. (September 12, 2014).

      Smith, D. (Presenter and Author). Risk Seminar on OIS Derivative Discounting: Practical Examples and Future Challenges, An Anecdotal History of Interest Rate Swap Pricing and Valuation, Incisive Media, New York, NY. (November 30, 2012).

    Accepted Lectures:

      Smith, D. (Other). Financial Education Association, Alternative Designs for Inflation-Linked Bonds: P-Linkers vs. C-Linkers, Fort Lauderdale, FL. (September 1, 2009).

      Smith, D. (Other). Financial Education Association, A Primer on Bond Portfolio Value at Risk, Hilton Head, SC. (September 1, 2008).

  • Awards and HonorsOpen or Close

    Top Ten Downloads, SSRN, Research. (April 22, 2012).

    My paper, Valuing Interest Rate Swaps Using OIS Discounting was on several Top 10 lists, now has 1,799 downloads since March 2012