Pricing options embedded in debentures with credit risk
Year of publication: |
may 2016
|
---|---|
Authors: | Almeida, Caio ; Pereira, Leonardo |
Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1980-2447, ZDB-ID 2392364-7. - Vol. 36.2016, 1, p. 21-42
|
Subject: | Embedded options | Term structure of interest rates | Debentures | Hull & White model | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Derivat | Derivative |
-
A tree Implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J., (2000)
-
Spread term structure and default correlation
Gagliardini, Patrick, (2016)
-
A unified approach to interest rate risk and credit risk of cash and derivative instruments
Dym, Steven I., (2008)
- More ...
-
Does curvature enhance forecasting?
Almeida, Caio, (2007)
-
Interest rate risk measurement in Brazilian sovereign markets
Almeida, Caio, (2004)
-
The role of no-arbitrage on forecasting : lessons from a parametric term structure model
Almeida, Caio, (2008)
- More ...