Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
On Pricing Corporate Bonds With Default Risk And Embedded Call Options When The Interest Rate Is Stochastic
Download On Pricing Corporate Bonds With Default Risk And Embedded Call Options When The Interest Rate Is Stochastic full books in PDF, epub, and Kindle. Read online On Pricing Corporate Bonds With Default Risk And Embedded Call Options When The Interest Rate Is Stochastic ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis On Pricing Corporate Bonds with Default Risk and Embedded Call Options when the Interest Rate is Stochastic by : Shengguang Qian
Download or read book On Pricing Corporate Bonds with Default Risk and Embedded Call Options when the Interest Rate is Stochastic written by Shengguang Qian and published by . This book was released on 2008 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy by : Viral V. Acharya
Download or read book Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy written by Viral V. Acharya and published by . This book was released on 2002 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Corporate Bonds by : Viral V. Acharya
Download or read book Corporate Bonds written by Viral V. Acharya and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the valuation and risk management of callable, defaultable bonds when both interest rates and firm value are stochastic and when the issuer follows optimal call and default policies. Since interest rate sensitivity is low when call is imminent and firm value sensitivity is high when default is imminent, characterizing the issuer's call and default policies is essential to understanding corporate bond risk management. We develop analytical results on optimal call and default rules and use them to explain the dynamics of a hedging strategy for corporate bonds using Treasury bonds and issuer equity.To clarify the interaction between the issuer's embedded call and default options, we compare the callable defaultable bond to its pure callable and pure defaultable counterparts. Each bond's embedded option is a call on a riskless, noncallable host bond, distinguished only by its strike price. This generalized call option perspective generates intuition for a variety of results. For instance, spreads on all bonds, not just callables, narrow with interest rates; a decline in rates can trigger a default; a call provision can increase the duration of a risky bond; a call provision increases equity's sensitivity to firm value, mitigating the underinvestment problem identified by Myers (1977).
Book Synopsis Default Risk and the Effective Duration of Bonds by : David F. Babbel
Download or read book Default Risk and the Effective Duration of Bonds written by David F. Babbel and published by . This book was released on 1995 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Puttable and Extendible Bonds by : Salih N. Neftci
Download or read book Puttable and Extendible Bonds written by Salih N. Neftci and published by International Monetary Fund. This book was released on 2003-10 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative markets in developing countries and eventually increase demand for long-term government bonds. Informal evidence from OECD countries suggests that these bonds were useful in the 1980s, when interest rates were volatile.
Book Synopsis Option-embedded Bonds by : Israel Nelken
Download or read book Option-embedded Bonds written by Israel Nelken and published by Irwin Professional Publishing. This book was released on 1997 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides up-to-date fixed income information, from a skillfully balanced mix of the best minds in both the financial services industry and academia.
Book Synopsis The Survival Zone for a Bond with Both Call and Put Options Embedded by : Theodore Barnhill
Download or read book The Survival Zone for a Bond with Both Call and Put Options Embedded written by Theodore Barnhill and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a numerical method to price bonds that have multiple embedded options with an emphasis on the case with both long call and short put options. The valuation framework is a one-factor model for the term structure of interest rates where the instantaneous interest rate is allowed to follow a fairly general stochastic process. The equilibrium interest rates that define the free boundaries for the embedded call and put options are given. We demonstrate the survival zone within which a bond with both long call and short put options remains afloat. We show that even moderate levels of transaction costs can have a significant effect on exercise of options.
Book Synopsis On the Determinants of the Value of Call Options on Default-free Bonds by : Stephen A. Buser
Download or read book On the Determinants of the Value of Call Options on Default-free Bonds written by Stephen A. Buser and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuing Convertible Bonds Under the Assumption of Stochastic Interest Rates by : Peter Carayannopoulos
Download or read book Valuing Convertible Bonds Under the Assumption of Stochastic Interest Rates written by Peter Carayannopoulos and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Callable Defaultable Bonds by : Jennifer N. Carpenter
Download or read book Callable Defaultable Bonds written by Jennifer N. Carpenter and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper models callable defaultable bonds, incorporating both stochastic interest rates and optimal call and default rules. We provide analytical results about valuation and optimal exercise boundaries, which we use to study hedge ratios with respect to Treasury bonds and issuer equity. Since the interest rate and equity risk of a bond depend on how close it is to call or default, the results on optimal exercise boundaries lead to newinsights about durations, betas, and hedge ratios. For example, as functions of firm value, bond deltas with respect to the Treasury bond essentially inherit the shape of the exercise boundaries. It follows that a call provision can increase the duration of a defaultable bond and default risk can increase the duration of a callable bond. We also illustrate the difficulty of hedging default risk and quantify the Myers underinvestmentproblem for typical high grade and junk bond issuers.
Book Synopsis Call Features and Term to Maturity of Callable Foreign Bonds by : Vince Hooper
Download or read book Call Features and Term to Maturity of Callable Foreign Bonds written by Vince Hooper and published by . This book was released on 1996 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper models the value of "embedded" options in foreign bonds, using stochastic calculus, by assuming that the exchange rate follows a geometric Brownian motion process and the arrival time of an early redemption of the bond by the issuer conforms to a negative exponential distribution. The solution to the stochastic model shows that there is a relationship between the call premium and the expected time to the call. Therefore, the magnitude of the call premium can be viewed as a signal to the market on the firm's or a government treasury's expectations about the future level of interest rates and possible refinancing strategies.
Book Synopsis Analysis of Default Probability of Corporate Bonds when the Interest Rates are Stochastic by : Emre Tokgöz
Download or read book Analysis of Default Probability of Corporate Bonds when the Interest Rates are Stochastic written by Emre Tokgöz and published by . This book was released on 2010 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Spanned Stochastic Volatility in Bond Markets by : Don H. Kim
Download or read book Spanned Stochastic Volatility in Bond Markets written by Don H. Kim and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios, and analyze the evidence for each of them. I argue that the poor bonds/options relative pricing in the extant literature is not necessarily evidence for the strong USV scenario, and show that a maximally flexible 2-factor quadratic-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping the positive-definiteness requirement for nominal interest rates and adopting "regularized" estimations turn out to be important for obtaining sensible results.
Book Synopsis Fixed Income Markets by : Moorad Choudhry
Download or read book Fixed Income Markets written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2011-12-14 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a comprehensive and in-depth account of the global debt capital markets. It covers a wide range of instruments and their applications, including derivative instruments. Highlights of the book include: Detailed description of the main products in use in the fixed income markets today, including analysis and valuation Summary of market conventions and trading practices Extensive coverage of associated derivatives including futures, swaps, options and credit derivatives Writing style aimed at a worldwide target audience An overview of trading and investment strategy. The contents will be invaluable reading for anyone with an interest in debt capital markets, especially investors, traders, bond salespersons, risk managers and banking consultants.
Book Synopsis The Handbook of Fixed Income Securities, Chapter 13 - Corporate Bonds by : Frank Fabozzi
Download or read book The Handbook of Fixed Income Securities, Chapter 13 - Corporate Bonds written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Book Synopsis Advanced Fixed Income Analysis by : Moorad Choudhry
Download or read book Advanced Fixed Income Analysis written by Moorad Choudhry and published by Elsevier. This book was released on 2015-08-28 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation
Book Synopsis Pricing Derivatives by : Ambar Sengupta
Download or read book Pricing Derivatives written by Ambar Sengupta and published by . This book was released on 2005 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.
