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A structural model for optimal selection of maturity and timing of callable bond issuance
Qian, Shengguang; Lakshmivarahan, S.; Stock, Duane R. - In: The journal of fixed income 26 (2017) 3, pp. 33-48
Persistent link: https://www.econbiz.de/10011684730
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Mortgage option deltas
Landrigan, Michael; Sun, Danny - In: The journal of fixed income 23 (2014) 3, pp. 5-14
Persistent link: https://www.econbiz.de/10010388899
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Does implied volatility imply volatility - in bonds?
Bertonazzi, Eric P.; Maloney, Michael T. - In: The journal of fixed income 11 (2001) 3, pp. 54-60
Persistent link: https://www.econbiz.de/10001706066
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The effect of default and conversion options on bond duration
Horchani, Sana - In: The journal of fixed income 25 (2016) 3, pp. 26-35
Persistent link: https://www.econbiz.de/10011429757
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Discrete-time versions of continuous-time interest rate models
Heston, Steven L. - In: The journal of fixed income 5 (1995) 2, pp. 86-88
Persistent link: https://www.econbiz.de/10001213236
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Valuation of defaultable bonds
Cathcart, Lara - In: The journal of fixed income 8 (1998) 1, pp. 65-78
Persistent link: https://www.econbiz.de/10001246656
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A complete model for pricing coco bonds
Milanov, Krasimir; Kunčev, Ognjan I.; Fabozzi, Frank J. - In: The journal of fixed income 29 (2020) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
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Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 4, pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
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Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 27 (2017) 2, pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
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Delivery options in the pricing and hedging of treasury bond and note futures
Rendleman, Richard J. - In: The journal of fixed income 14 (2004) 2, pp. 20-31
Persistent link: https://www.econbiz.de/10002421445