We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an … form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity … spreads ; default ; structural bond pricing models …

strike price is in a currency different from the stock price. -- Numeraire ; option ; convertible bond …

since a volatility constraint on the stochastic discount factor is a particular case of a restriction on this distance. We …

martingale under the T-forward neutral measure, the zero coupon bond volatilities will enter into the drift part of the SDE for … use the Lie algebra methodology of Björk et al. to investigate under what conditions on the volatility structure of the …

volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from … a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option …

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …