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Four contributions to quantitative financial risk management
Detering, Nils - 2014
Persistent link: https://www.econbiz.de/10010403476
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The Annuity Wager : Can Bonds Outperform a Life Annuity?
McQuarrie, Edward F. - 2022
some probability of ruin in either case: the bond portfolio may be exhausted while the bettor is still alive, or the bettor … may die before the bond portfolio runs down. The paper applies a historical rather than mathematical lens to calculate the … bond yields are very low. However, if the annuity provider cannot harvest a spread over the safe government bond yield and …
Persistent link: https://www.econbiz.de/10013404373
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A defaultable callable bond pricing model
Hua, David; Chou, Heng-chih; Wang, David - In: Investment management and financial innovations 6 (2009) 3, pp. 54-62
Persistent link: https://www.econbiz.de/10003919413
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A model for designing callable bonds and its solution using tabu search
Consiglio, Andrea - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1445-1470
Persistent link: https://www.econbiz.de/10001222037
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Pricing derivative credit risk
Ammann, Manuel - 1998
Persistent link: https://www.econbiz.de/10000994013
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Pricing discretely monitored barrier options and defaultable bonds in Lévy process models : a fast Hilbert transform approach
Feng, Liming; Linetsky, Vadim - In: Mathematical finance : an international journal of … 18 (2008) 3, pp. 337-384
Persistent link: https://www.econbiz.de/10003752266
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The handbook of fixed income options : strategies, pricing and applications
Fabozzi, Frank J. (ed.) - 1996 - Rev. ed.
Persistent link: https://www.econbiz.de/10013531679
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Abrufoptionen bei aktienindexgebundenen Lebens- und Rentenversicherungen
Ruß, Jochen; Schittenhelm, Frank Andreas - In: Zeitschrift für die gesamte Versicherungswissenschaft … 88 (1999) 4, pp. 683-694
Persistent link: https://www.econbiz.de/10001466853
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The interest rate risk of callable bonds
Kalotay, Andrew J. - 1982
Persistent link: https://www.econbiz.de/10003596387
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Callable bonds revisited
Banko, John C.; Zhou, Lei - In: Financial management 39 (2010) 2, pp. 613-641
Persistent link: https://www.econbiz.de/10009500495