This paper proposes a new Monte Carlo technique for pricing options on forward bonds, by diffusing the bond … equivalent to pricing the related forward bond, as the bond price is linked to the yield to maturity price through a basic …

-level general population mortality in their construction. By constructing a typical mortality risk portfolio and calibrating a bond …, effectiveness of the bond increases when used in combination with surplus reinsurance and/or when pooling is used to increase …

schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how instruments … with similar cash flow structures have been priced if their definition falls under that of a financial derivative versus if …, we provide some practical proxies, such as first-order approximations or basing calculations of CVA and DVA on bond …

frequently used to hedge equity portfolios. But is it appropriate for bond portfolios?The bond market is broad and diverse … result, equity volatility relates to each segment of the bond market in the following different ways:- Treasury and municipal … volatility futures can offer corporate bond portfolios some tail risk hedging benefits, but there are occasions when these …

option-free bonds and bond derivatives under stable, increasing, and decreasing rate scenarios …