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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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Pricing of discount bonds with a Markov switching regime
Elliott, Robert J.; Nishide, Katsumasa - In: Annals of finance 10 (2014) 3, pp. 509-522
Persistent link: https://www.econbiz.de/10010399761
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A robust pricing of specific structured bonds with coupons
Evgenidis, Anastasios; Siriopoulos, Costas - In: Journal of risk finance : the convergence of financial … 15 (2014) 3, pp. 234-247
Persistent link: https://www.econbiz.de/10010391448
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Model-free nonparametric bounds for zero-coupon interest rates in bond markets without the no arbitrage principle
Lapshin, Victor - In: Applied economics 54 (2022) 2, pp. 135-144
Persistent link: https://www.econbiz.de/10012873873
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Approximate series solutions of a one-factor term structure model for bond pricing
Edeki, Sunday Onos; Okoli, Deborah Chikwado; Ahmad, Hijaz; … - In: Annals of financial economics 16 (2021) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10013185499
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Debt covenants and credit spread valuation : the special case of Chinese global bonds
Chang, Sean Tat; Ross, Donald G. - In: Global finance journal 30 (2016), pp. 27-44
Persistent link: https://www.econbiz.de/10011714617
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Safe asset carry trade
Ballensiefen, Benedikt; Ranaldo, Angelo - 2019 - First draft: July 18, 2019
We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor, together with a market factor explain the temporal...
Persistent link: https://www.econbiz.de/10012050941
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Cross-acceleration and the relationship between board independence and bond yield spreads
Meder, Anthony A.; Schwartz, Steven; Young, Richard A. - In: Advances in accounting : a research annual 44 (2019), pp. 58-67
Persistent link: https://www.econbiz.de/10012064327
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Bond and option pricing for interest rate model with clustering effects
Zhang, Xin; Xiong, Jie; Shen, Yang - In: Quantitative finance 18 (2018) 6, pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
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Risk factors in Australian bond returns
Bianchi, Robert; Drew, Michael E.; Roca, Eduardo; … - In: Accounting and finance : journal of the Accounting … 57 (2017) 2, pp. 351-372
Persistent link: https://www.econbiz.de/10011756380