Showing 1 - 10 of 5,742
Persistent link: https://www.econbiz.de/10010239711
Persistent link: https://www.econbiz.de/10008702370
Persistent link: https://www.econbiz.de/10011441273
for bond and forward prices. The benchmark or numeraire is chosen to be the growth optimal portfolio (GOP). For … deterministic short rate the solution of the bond term structure equation coincides with the explicit formula obtained in Platen …(2005). The resulting term structure equations are used to explain moves in bond and forward prices by introducing GOP as a …
Persistent link: https://www.econbiz.de/10011523699
Persistent link: https://www.econbiz.de/10011298058
Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …
Persistent link: https://www.econbiz.de/10012307696
Persistent link: https://www.econbiz.de/10012123481
Persistent link: https://www.econbiz.de/10011818958
Persistent link: https://www.econbiz.de/10013365932
Persistent link: https://www.econbiz.de/10012202064