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A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility
Heston, Steven L.; Nandi, Saikat - 1999
This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many … options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options … of the Vasicek 1977 model) in terms of pricing the cross section of spot bonds. This occurs although the one-factor model …
Persistent link: https://www.econbiz.de/10010397477
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Interest rate models : an introduction
Cairns, Andrew J. G. - 2004
Persistent link: https://www.econbiz.de/10004510684
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Equity and bond market signals as leading indicators of bank fragility
Gropp, Reint; Vesala, Jukka; Vulpes, Giuseppe - In: Conference Series ; [Proceedings] (2002)
We analyse the ability of equity market-based distances-to-default and subordinated bond spreads to signal a material weakening in banks' financial condition. Using option pricing, we show that both indicators are complete and unbiased indicators of bank fragility. We empirically test these...
Persistent link: https://www.econbiz.de/10005361237
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The Irwin guide to stocks, bonds, futures, and options : a comprehensive guide to Wall Street's markets
Liaw, Kwoloong Thomas; Moy, Ronald L. - 2001
Persistent link: https://www.econbiz.de/10004604772
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Pricing money : a beginner's guide to money, bonds, futures, and swaps
Wiseman, J. D. A. - 2001
Persistent link: https://www.econbiz.de/10004661746
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The pitfalls in inferring risk from financial market data
Bliss, Robert R. - Federal Reserve Bank of Chicago - 2000
This paper examines two qualitative rules of thumb, frequently invoked in discussions of bank regulatory policy. The first, that equity holders prefer more risk to less, derives from a result in option pricing theory, that an option's value increases monotonically with the riskiness of the...
Persistent link: https://www.econbiz.de/10005419915
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A Taxonomy of Automated Trade Execution Systems
Domowitz, Ian - International Monetary Fund (IMF) - 1992
A taxonomy of existing and planned automated trade execution systems in financial markets is provided. Over 50 automated market structures in 16 countries are analyzed. The classification scheme is organized around the principle that such markets consist of an algorithm that performs a trade...
Persistent link: https://www.econbiz.de/10005826264
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Fixed income investing : a classic in a time of increased uncertainty
Poufinas, Thomas - 2022
types of bonds, their valuation, the interest rate term structure—then moving to fixed income portfolio management and the …1. Introduction -- 2. Bonds -- 3. Term Structure -- 4. Fixed Income Portfolio Management -- 5. Interest Rate … Derivatives -- 6. Credit Derivatives -- 7. Bond Markets -- 8. Bond Funds -- 9. Risks and Risk Management -- 10. Bonds and Crises …
Persistent link: https://www.econbiz.de/10012659711
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Fixed Income Investing : A Classic in a Time of Increased Uncertainty
Poufinas, Thomas - 2022
1. Introduction -- 2. Bonds -- 3. Term Structure -- 4. Fixed Income Portfolio Management -- 5. Interest Rate … Derivatives -- 6. Credit Derivatives -- 7. Bond Markets -- 8. Bond Funds -- 9. Risks and Risk Management -- 10. Bonds and Crises … -- 11. Bonds and Debt -- 12. Bonds vs. Stocks -- 13. Hedging, Speculation and Arbitrage -- 14. Bonds and Regulation. …
Persistent link: https://www.econbiz.de/10013170811
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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
increases. These effects extend beyond long government bonds. Our results suggest that pension discount rules can have a …
Persistent link: https://www.econbiz.de/10011931879