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Lorig, Matthew; Zou, Bin - 2021

In a market with stochastic interest rates, we consider an investor who can either (i) invest all of his wealth in a money market account or (ii) purchase zero-coupon bonds and invest the remainder of his wealth in the money market account. The indifference price of the zero-coupon bond is the...

Persistent link: https://www.econbiz.de/10013250836

Hedging of a Portfolio of Rainfall Insurances using Rainfall Bonds and European Call Options (Bull Spread)

Shah, Anand - 2017

the capital markets by issuing the rainfall bonds or European type rainfall call options with an upper limit to the … portfolio consisting of only rainfall insurances. In our example the Rainfall call options were more effective at mitigating the … rainfall risk than the rainfall bonds and the capital requirement for an effective hedging of the rainfall insurance portfolio …

Persistent link: https://www.econbiz.de/10012969306

Stock Evolution under Stochastic Volatility: A discrete approach

Leisen, Dietmar - 1999

This paper examines the pricing of options by approximating extensions of the Black-Scholes setup in which volatility …-style put options... …

Persistent link: https://www.econbiz.de/10005841333

The Direct Approach to Debt Option Pricing

Sandmann, Klaus; Rady, Sven - 1995

options. We describe the principal modelling problems of the direct approach and compare in detail the solutions proposed in …

Persistent link: https://www.econbiz.de/10005841397

Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling

Westphalen, Michael - 2002

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.

Persistent link: https://www.econbiz.de/10005843306

Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures

Walder, Roger - 2002

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

Persistent link: https://www.econbiz.de/10005843342

Trading the bond-CDS basis: The role of credit risk and liquidity

Trapp, Monika - 2009

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...

Persistent link: https://www.econbiz.de/10010302537

The valuation of corporate liabilities: Theory and tests

Ericsson, Jan; Reneby, Joel - 2001

We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an efficient maximum likelihood methodology. We evaluate the model's ability to predict yield spread levels and changes out-of-sample. Errors are smaller and distinctly less variable than...

Persistent link: https://www.econbiz.de/10010281391

The Term Structure of Illiquidity Premia

Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009

This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...

Persistent link: https://www.econbiz.de/10008911533

Does the “Bund” dominate price discovery in Euro bond futures?Examining information shares

Fricke, Christoph; Menkhoff, Lukas - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010

This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bondfuture contract on German sovereign debt, versus two futures with shorter maturity. We findthat the Bund is most important but does not dominate price discovery. The other contractsalso have relevant –...

Persistent link: https://www.econbiz.de/10009302617

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