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A Discrete-Time Two-Factor Model for Pricing Bonds and Interest Rate Derivatives under Random Volatility
Heston, Steven L. - 2015
of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European … observations of a chosen short rate/bond prices. Another advantage of our discrete-time model is that for derivatives like average … random volatility of the short rate are manifested mostly in bond option prices rather than in bond prices …
Persistent link: https://www.econbiz.de/10013032670
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Pricing interest rate derivatives under volatility uncertainty
Holzermann, Julian - 2020
arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …
Persistent link: https://www.econbiz.de/10012175590
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Hedging of a Portfolio of Rainfall Insurances using Rainfall Bonds and European Call Options (Bull Spread)
Shah, Anand - 2017
insurances for two crops in three districts each. We then estimate the parameters of rainfall bond and rainfall call option with …
Persistent link: https://www.econbiz.de/10012969306
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Assessing contingent convertible bonds for bank recapitalization in Nigeria
Katata, Kabir - In: CBN journal of applied statistics 10 (2019) 1, pp. 119-153
This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank recapitalisation in Nigeria by employing contingent convertibles (CoCos) and using the Nigeria Treasury Bill rate for 2009 as the risk-free rate, estimated recapitalisation requirements...
Persistent link: https://www.econbiz.de/10012178362
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Chapter 20 Fixed-income pricing
Dai, Qiang; Singleton, Kenneth J. - 2003
interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have …
Persistent link: https://www.econbiz.de/10014023851
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Pricing Interest Rate Derivatives Under Different Interest Rate Modeling : A Critical and Empirical Comparison
De Simone, Antonio - 2011
This paper deals with issues related to the choice of the interest rate model to price interest rate derivatives. After the development of the market models, choosing the interest rate model has become almost a trivial task. However, their use is not always possible, so that the problem of...
Persistent link: https://www.econbiz.de/10013130645
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Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?
Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17
In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...
Persistent link: https://www.econbiz.de/10012259883
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
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The Valuation of Multivariate Equity Options by Means of Copulas : Theory and Application to the European Derivatives Market
Slavchev, Ivan; Wilkens, Sascha - 2011
This paper studies the valuation of multivariate equity options by determining the joint risk-neutral distribution of the underlying stock prices by means of copulas. In contrast to previous work which concentrates on two underlyings this study considers the general multivariate case. In...
Persistent link: https://www.econbiz.de/10014047700
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The valuation of corporate liabilities : theory and tests
Ericsson, Jan (contributor); Reneby, Joel (contributor) - 2001 - [Elektronische Ressource], First version: February 2001, Rev. January 7, 2003
We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an … form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity … spreads ; default ; structural bond pricing models …
Persistent link: https://www.econbiz.de/10001600071