In these two papers, ‘Multiple Risky Securities Valuation I - II', we represented a simplified scheme of the CDO's tranches valuation. The main difference between our approach and benchmark is that we dealing with market cash flows in contrast to expected cash flows usually used for...

In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of a portfolio assets. Our approach close but it does...

In this paper we focus on the concept of a discount rate. In [1] one expressed some concerns regarding the models that present randomization of the discount rate. This paper proposed a new approach to the construction of variable deterministic and stochastic interest rates. This approach is...

In this paper, we present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on each step of pricing. In the first section, we...

In this paper we discuss some popular notions of the fixed income pricing. We pay attention to formal side of the use such notions as discount factor and mark-to-market valuation of the risk free cross currency swap