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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

XVA of a Derivative on an Underlying Modelled by a Default Jump Process with an Analysis of CVA Wrong Way Risk for Bond Forwards

Lichtner, Mark - 2015

. The results are applied to bond forward contracts and total return swaps with early termination at underlying default …

Persistent link: https://www.econbiz.de/10013024060

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

Managerial Methods to Control the Downside Risk of Derivatives

Leoni, Patrick L. - 2009

Derivatives are at the very heart of the recent financial disasters, and the surveillance of their downside risk is of paramount importance both to practitioners and regulators. We survey and present original managerial methods to efficiently control the downside risk of derivatives portfolios....

Persistent link: https://www.econbiz.de/10013157491

Understanding Bonds Pricing and the Risks ‘My Name Is Bond, James Bond’

Burgess, Nicholas - 2022

we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …

Persistent link: https://www.econbiz.de/10014235519

Risk Characteristics of Covered Bonds : Monitoring Beyond Ratings

Grothe, Magdalena - 2020

cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures …

Persistent link: https://www.econbiz.de/10012836662

Risk characteristics of covered bonds : monitoring beyond ratings

Grothe, Magdalena; Zeyer, Jana - 2020

cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures …

Persistent link: https://www.econbiz.de/10012206219

CoCo Bonds with Extension Risk

De Spiegeleer, Jan - 2014

as additional Tier 1 and their step-up feature reduced the probability that the bank skipped the call and kept the bond …

Persistent link: https://www.econbiz.de/10013059528

Term structure of interest rates with short-run and long-run risks

Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

Persistent link: https://www.econbiz.de/10014433708

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de/10015181854