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Recent events have stimulated interest in
the joint behavior of prices and quantities in
credit markets. Data sources such as the Federal
Reserve Board’s Flow of Funds Accounts (FFA)
provide s...
武汉理工大学货币银行学英文课件Chapter5 Bonds,Bond Prices and the Determination of Interest Rates
武汉理工大学 货币银行学 英文 课件 Chapter5 Bonds,Bond Prices and the Determination of Interest Rates
2015/6/4
武汉理工大学货币银行学英文课件Chapter5 Bonds,Bond Prices and the Determination of Interest Rates。
Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
Treasury Bonds risk-free valuation intrinsic value duration, convexity
2012/9/14
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determi...
Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach
interest rate models callable bonds options embedded in bonds optimal stopping stochastic games eigenfunction expansions option pricing stochastic time changes
2012/9/14
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versi...
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
interest rate bonds recovery rate survival probability hazard rate function yield to maturity CMS CMT
2012/4/28
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (...
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
theoretical equivalence credit spreads equilibrium condition discovery process
2011/8/23
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find t...
Corporate cost of debt: the issue of premium or discount bonds
Cost of debt bonds capital amortization premium discount
2010/10/18
The traditional textbook method of calculating a corporation’s cost of debt capital tends
to minimize the practical process used to arrive at that cost. This is particularly true if the corporation h...
Indifference of Defaultable Bonds with Stochastic Intensity models
Credit Risk model Cox Process HJB equations
2010/10/19
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived....
Bonds with volatilities proportional to forward rates
bond market HJM condition linear volatitlity
2010/11/2
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence
and non-existence of the...
Defaultable bonds with an infinite number of Levy factors
Lévy processes defaultable bonds HJM postulate credit risk rating migration conditional Markov chains
2010/11/2
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting
and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes ...
Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
zero-coupon bonds asymptotic analysis
2010/12/13
We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly d...