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Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
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Valuation of callable/putable corporate bonds in a one-factor lognormal interest-rate model
Goldberg, Robert S.; Ronn, Ehud I.; Xu, Liying - In: The journal of fixed income : JFI 31 (2021) 1, pp. 80-95
Persistent link: https://www.econbiz.de/10012613114
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Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models
Malyarenko, Anatoliy - 2010
In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one …
Persistent link: https://www.econbiz.de/10013144189
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Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
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A fundamental approach to corporate bond options
Simozar, Saied - In: International journal of financial engineering 11 (2024) 2, pp. 1-30
Persistent link: https://www.econbiz.de/10014574997
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A mixed bond and equity fund model for the valuation of variable annuities
Augustyniak, Maciej; Godin, Frédéric; Hamel, Emmanuel - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 131-159
Persistent link: https://www.econbiz.de/10012437276
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Pricing of bond options : unspanned stochastic volatility and random field models
Repplinger, Detlef - 2008
Persistent link: https://www.econbiz.de/10013278100
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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
A major theme of this book is the development of a consistent unified model framework for the evaluation of bond … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a … deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by …
Persistent link: https://www.econbiz.de/10013521005
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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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Term structure equations under benchmark framework
El Qalli, Yassine - 2009
for bond and forward prices. The benchmark or numeraire is chosen to be the growth optimal portfolio (GOP). For … deterministic short rate the solution of the bond term structure equation coincides with the explicit formula obtained in Platen …(2005). The resulting term structure equations are used to explain moves in bond and forward prices by introducing GOP as a …
Persistent link: https://www.econbiz.de/10011523699