Narrow search
Showing 1 - 6 of 6
Cover Image
Exact solutions for futures and European futures options on pure discount bonds
Chen, Ren-Raw - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 1, pp. 97-107
Persistent link: https://www.econbiz.de/10001122224
Cover Image
An analysis of unbundled stock units
Finnerty, John D. - In: Global finance journal 1 (1989) 1, pp. 47-69
Persistent link: https://www.econbiz.de/10001089857
Cover Image
Options in Structured Notes : Fix the Price or Fix the Spread?
Finnerty, John D. - 2014
We derive consistent contingent-claims models for valuing implicit options embedded in structured notes, and use them to compare the cost of fixing the spread with that of fixing the price in bond tender offers. We analyze 289 bond tender offers and find that the cost difference is economically...
Persistent link: https://www.econbiz.de/10013047698
Cover Image
Fixed income total return swaps
Anson, Mark J. P.; Fabozzi, Frank J.; Choudhry, Moorad; … - 2008
Persistent link: https://www.econbiz.de/10003763598
Cover Image
The valuation of fixed income total return swaps
Chen, Ren-Raw; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765788
Cover Image
Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey; Li, Xiaowei - In: The journal of futures markets 43 (2023) 3, pp. 349-383
Persistent link: https://www.econbiz.de/10014293073