The impact of compounding on bond pricing with alternative reference rates
Dario Cziráky and Ana Ponikvar
| Year of publication: |
2021
|
|---|---|
| Authors: | Cziráky, Dario ; Ponikvar, Ana |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 23.2021, 6, p. 37-66
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| Subject: | interbank offered rate (IBOR) transition | bond pricing | alternative reference rates (ARR) | Monte Carlo simulation | jumps | Anleihe | Bond | Zinsstruktur | Yield curve | Monte-Carlo-Simulation | Theorie | Theory | Zins | Interest rate | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2021.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013473138