Narrow search
Showing 1 - 10 of 3,939
Cover Image
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
Cover Image
A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Quantitative finance 23 (2023) 1, pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
Cover Image
Pricing defaultable bonds under Hawkes jump-diffusion processes
Chen, Li; Ma, Yong; Xiao, Weilin - In: Finance research letters 47 (2022) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10013553778
Cover Image
Bond Duration and Convexity under Stochastic Interest Rates and Credit Spreads
Dione, Ibrahima; Lai, Van Son - 2022
duration and the convexity of a corporate coupon bond as compared to those of an equivalent Treasury coupon bond. For bond …
Persistent link: https://www.econbiz.de/10014239516
Cover Image
Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
Miura, Masakazu; Tamaki, Kenichiro; Shiohama, Takayuki - In: Asia-Pacific financial markets 20 (2013) 4, pp. 311-344
Persistent link: https://www.econbiz.de/10010345916
Cover Image
Bond duration and convexity under stochastic interest rates and credit spreads
Dione, Ibrahima; Lai, Van Son - In: The journal of fixed income : JFI 33 (2023) 3, pp. 75-112
Persistent link: https://www.econbiz.de/10014533801
Cover Image
Bond Duration and Convexity Under Stochastic Interest Rates and Credit Spreads
Dione, Ibrahima; Lai, Van Son - 2023
duration and the convexity of a corporate coupon bond as compared to those of an equivalent Treasury coupon bond. For bond …
Persistent link: https://www.econbiz.de/10014256700
Cover Image
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
Cover Image
American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
Cover Image
Stratified approximations for the pricing of options on average
Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113
Persistent link: https://www.econbiz.de/10011603193