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Bonds and options in exponentially affine bond models
Bermin, Hans-Peter - In: Applied mathematical finance 19 (2012) 5/6, pp. 513-534
Persistent link: https://www.econbiz.de/10009710929
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Valuation and Analysis of Zero-Coupon Contingent Capital Bonds
Metzler, Adam - 2014
We consider the valuation and analysis of zero-coupon contingent capital bonds (CCBs) in the structural framework. Using Doob's Optional Sampling Theorem (and making virtually no assumptions on asset value dynamics, the terms of conversion or the conversion trigger) we express the value of the...
Persistent link: https://www.econbiz.de/10013054835
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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Pricing and hedging bond options and sinking-fund bonds under the CIR model
Larguinho, Manuela; Dias, José Carlos; Braumann, Carlos A. - In: Quantitative finance and economics 6 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013494117
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Fixed-income securities : valuation, risk management and portfolio strategies
Martellini, Lionel; Priaulet, Philippe; Priaulet, Stéphane - 2003
Persistent link: https://www.econbiz.de/10001747338
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Interest Rate Risk of Zero-Coupon Bond Prices on National Stock Exchange (NSE) – Empirical Test of the Duration, Modified Duration, Convexity and Immunization Risk
Maleki Nia, Nahid - 2019
related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is …
Persistent link: https://www.econbiz.de/10012864002
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Principal component and second generation wavelet analysis of Treasury yield curve evolution
Cooper, Mark L. - 2004
Persistent link: https://www.econbiz.de/10003386850
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Optimal bond portfolios with fixed time to maturity
Andersson, Patrik; Lagerås, Andreas N. - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 429-438
Persistent link: https://www.econbiz.de/10010195912