This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by...

I Pricing and ValuationStochastic Processes and Risk-Neutral Pricing Characteristic FunctionStochastic Models of Asset PricesValuing Derivatives under Various MeasuresTypes of DerivativesDerivatives Pricing via Transform TechniquesDerivatives Pricing via the Fast Fourier TransformFractional Fast...

We propose a golf inspired Advisor Assessment Framework with a Scorecard, Fairway Average and Handicap as performance measures to assess an Advisor’s investment recommendations. The Scorecard measures the performance of an Advisor in relation to a benchmark at each interval of the evaluation...

In an affine term structure framework with stochastic volatility, we derive the characteristic function of the log swap rate. Having the characteristic function, we employ Fast Fourier Techniques (FFT) to price swaptions. Using ten years of swap rates and swaption premiums, model parameters are...

In an affine term structure framework we propose a discrete time stochastic volatility model. We derive the characteristic function of the log swap rate under swap measure. Having the characteristic function, we employ the Fourier cosine (COS) technique to price swaptions. Using data on tweleve...