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Pricing derivative credit risk
Ammann, Manuel - 1998
Persistent link: https://www.econbiz.de/10000674017
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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 simple model for pricing bonds with diverse conditions on embeded options
Mateti, Ravi S.; Hegde, Shantaram P.; Vasudevan, Gopala - In: The international journal of finance 26 (2014) 2, pp. 143-178
Persistent link: https://www.econbiz.de/10011378568
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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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Option bonds and second order arbitrage opportunities
Huang, James (contributor) - 2004
Persistent link: https://www.econbiz.de/10002625372
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Defaultable bonds as Asian options
Buffet, Emmanuel - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 571
Persistent link: https://www.econbiz.de/10001524455
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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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The Valuation of Callable Bonds with Floored CMS-Spread Coupons
Jørgensen, Peter Løchte - 2012
A new type of structured bond has recently been introduced with enormous success–primarily among private investors … or near zero, and the bond investment can thus be seen as a bet on the steepening of future term structure curves …
Persistent link: https://www.econbiz.de/10013097039
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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