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The informational content of the embedded deflation option in TIPS

Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - In: Journal of banking & finance 65 (2016), pp. 1-26

Persistent link: https://www.econbiz.de/10011634318

Default risk and interest rate risk : the term structure of default spreads

Nielsen, Lars T.; Saá-Requejo, Jesús; Santa-Clara, Pedro - 1993

Persistent link: https://www.econbiz.de/10001723225

Bond duration and convexity under stochastic interest rates and credit spreads

Dione, Ibrahima; Lai, Van Son - In: The journal of fixed income : JFI 33 (2023) 3, pp. 75-112

Persistent link: https://www.econbiz.de/10014533801

Bond Duration and Convexity under Stochastic Interest Rates and Credit Spreads

Dione, Ibrahima; Lai, Van Son - 2022

We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the same metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...

Persistent link: https://www.econbiz.de/10014239516

Bond Duration and Convexity Under Stochastic Interest Rates and Credit Spreads

Dione, Ibrahima; Lai, Van Son - 2023

We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the very metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...

Persistent link: https://www.econbiz.de/10014256700

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …

Persistent link: https://www.econbiz.de/10010257509