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Heterogeneous Expectations Model Of The Value Of Bonds Bearing Call Options
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Book Synopsis A Heterogeneous-expectations Model of the Value of Bonds Bearing Call Options by : Benjamin M. Friedman
Download or read book A Heterogeneous-expectations Model of the Value of Bonds Bearing Call Options written by Benjamin M. Friedman and published by . This book was released on 1977 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of differences between the issuer's expectations of future interest rates and an investor's corresponding expectations. This generalization facilitates the application of the model to determine what a specific bond (issued, for example, by a particular corporation) is worth to any given investor. Additional analytical features of the model, which differ from corresponding aspects of some previous models, include the use of a stochastic discounting rate and the use of continuous distributions to characterize the relevant interest rate expectations. For the bond issuer, his own expectations (together with the bond's coupon and call features) suffice to indicate the critical refunding yield as well as the expected value of the bond in each time period until the bond matures. For an investor, however, the analytical solution of the model and the illustrative numerical examples presented in the paper show that the issuer's expectations and the investor's own both matter if the two differ
Book Synopsis A Heterogeneous-expectations Model of the Value of Bonds Bearing Call Options by : Zvi Bodie
Download or read book A Heterogeneous-expectations Model of the Value of Bonds Bearing Call Options written by Zvi Bodie and published by . This book was released on 1977 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of differences between the issuer's expectations of future interest rates and an investor's corresponding expectations. This generalization facilitates the application of the model to determine what a specific bond (issued, for example, by a particular corporation) is worth to any given investor. Additional analytical features of the model, which differ from corresponding aspects of some previous models, include the use of a stochastic discounting rate and the use of continuous distributions to characterize the relevant interest rate expectations. For the bond issuer, his own expectations (together with the bond's coupon and call features) suffice to indicate the critical refunding yield as well as the expected value of the bond in each time period until the bond matures. For an investor, however, the analytical solution of the model and the illustrative numerical examples presented in the paper show that the issuer's expectations and the investor's own both matter if the two differ.
Book Synopsis Heterogeneous-Expectations Model of the Value of Bonds Bearing Call Options by : Zvi Bodie
Download or read book Heterogeneous-Expectations Model of the Value of Bonds Bearing Call Options written by Zvi Bodie and published by . This book was released on 2010 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of differences between the issuer's expectations of future interest rates and an investor's corresponding expectations. This generalization facilitates the application of the model to determine what a specific bond (issued, for example, by a particular corporation) is worth to any given investor. Additional analytical features of the model, which differ from corresponding aspects of some previous models, include the use of a stochastic discounting rate and the use of continuous distributions to characterize the relevant interest rate expectations. For the bond issuer, his own expectations (together with the bond's coupon and call features) suffice to indicate the critical refunding yield as well as the expected value of the bond in each time period until the bond matures. For an investor, however, the analytical solution of the model and the illustrative numerical examples presented in the paper show that the issuer's expectations and the investor's own both matter if the two differ.
Book Synopsis A Heterogeneous-expectations Model of the Value of Bonds Learning Call Options by : Zvi Bodie
Download or read book A Heterogeneous-expectations Model of the Value of Bonds Learning Call Options written by Zvi Bodie and published by . This book was released on 1977 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :United States. Congress. House. Committee on Ways and Means. Subcommittee on Oversight Publisher : ISBN 13 : Total Pages :976 pages Book Rating :4.:/5 (327 download)
Book Synopsis A Review of Selected Tax Expenditures, Investment Tax Credit by : United States. Congress. House. Committee on Ways and Means. Subcommittee on Oversight
Download or read book A Review of Selected Tax Expenditures, Investment Tax Credit written by United States. Congress. House. Committee on Ways and Means. Subcommittee on Oversight and published by . This book was released on 1979 with total page 976 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :United States. Congress. Senate. Committee on Finance. Subcommittee on Taxation and Debt Management Generally Publisher : ISBN 13 : Total Pages :580 pages Book Rating :4.:/5 (327 download)
Book Synopsis Capital Gains Tax Bills by : United States. Congress. Senate. Committee on Finance. Subcommittee on Taxation and Debt Management Generally
Download or read book Capital Gains Tax Bills written by United States. Congress. Senate. Committee on Finance. Subcommittee on Taxation and Debt Management Generally and published by . This book was released on 1978 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The ... Midyear Review of the Economy by : United States. Congress. Joint Economic Committee
Download or read book The ... Midyear Review of the Economy written by United States. Congress. Joint Economic Committee and published by . This book was released on 1978 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The 1978 Midyear Review of the Economy by : United States. Congress. Joint Economic Committee
Download or read book The 1978 Midyear Review of the Economy written by United States. Congress. Joint Economic Committee and published by . This book was released on 1978 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis NBER Reporter by : National Bureau of Economic Research
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 1977 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hearings, Reports and Prints of the Joint Economic Committee by : United States. Congress. Joint Economic Committee
Download or read book Hearings, Reports and Prints of the Joint Economic Committee written by United States. Congress. Joint Economic Committee and published by . This book was released on 1978 with total page 1514 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Heterogeneous Expectations and Bond Markets by : Hongjun Yan
Download or read book Heterogeneous Expectations and Bond Markets written by Hongjun Yan and published by . This book was released on 2010 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a dynamic equilibrium model of bond markets in which two groups of agents hold heterogeneous expectations about future economic conditions. The heterogeneous expectations cause agents to take speculative positions against each other and therefore generate endogenous relative wealth fluctuation. The relative wealth fluctuation amplifies asset price volatility and contributes to the time variation in bond premia. Our model shows that a modest amount of heterogeneous expectation can help explain several puzzling phenomena, including the quot;excessive volatilityquot; of bond yields, the failure of the expectations hypothesis, and the ability of a tent-shaped linear combination of forward rates to predict bond returns.
Download or read book National Union Catalog written by and published by . This book was released on with total page 1032 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes entries for maps and atlases.
Book Synopsis Economics Working Papers by : John Fletcher
Download or read book Economics Working Papers written by John Fletcher and published by . This book was released on 1978 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis List of Recent Periodical Articles by : Joint Bank-Fund Library
Download or read book List of Recent Periodical Articles written by Joint Bank-Fund Library and published by . This book was released on 1978 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Alternative Investments: A Primer for Investment Professionals by : Donald R. Chambers
Download or read book Alternative Investments: A Primer for Investment Professionals written by Donald R. Chambers and published by CFA Institute Research Foundation. This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.
Book Synopsis Guide to Financial Markets by : Marc Levinson
Download or read book Guide to Financial Markets written by Marc Levinson and published by The Economist. This book was released on 2018-07-24 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.
