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On The Determinants Of The Value Of Call Options On Default Free Bonds
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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 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require numerical methods for evaluation. The finding is confirmed for a wide range of economic conditions, and it is robust with respect to the number and nature of factors that generate interest-rate movements
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 2008 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require numerical methods for evaluation. The finding is confirmed for a wide range of economic conditions, and it is robust with respect to the number and nature of factors that generate interest-rate movements.
Book Synopsis On the Determinants of the Value of Call Options of Default-free Bonds by :
Download or read book On the Determinants of the Value of Call Options of Default-free Bonds written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the determinants of the value of call options of default-free bonds by : Stephen A. Buser
Download or read book On the determinants of the value of call options of default-free bonds written by Stephen A. Buser and published by . This book was released on 1988 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Theoretical and Empirical Study of Options on Default Free Coupon Bonds by : Thomas James Finucane
Download or read book A Theoretical and Empirical Study of Options on Default Free Coupon Bonds written by Thomas James Finucane and published by . This book was released on 1986 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Examination of Call Option Values Implicit in U.S. Corporate Bonds by : Tao-Hsien Dolly King
Download or read book An Empirical Examination of Call Option Values Implicit in U.S. Corporate Bonds written by Tao-Hsien Dolly King and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines call option values implicit in U.S. corporate bonds during the period 1973 to 1994. The average call option value is 2.25 percent of par. Over time, call values remain close to zero until one year before the first call date, reach a maximum at the beginning of the callable period, and slowly decrease thereafter. The determinants of call values are examined. The results show that higher coupon bonds issued by firms with an aggressive call behavior have larger call values. The results also show that lower interest rates and higher interest rate volatility lead to higher call values. Call values increase with time to maturity in the callable period but decrease with time to maturity in the call protection period. There is no evidence that the slope of the yield curve or the length of call protection period influences call values.
Book Synopsis Bond Evaluation, Selection, and Management by : R. Stafford Johnson
Download or read book Bond Evaluation, Selection, and Management written by R. Stafford Johnson and published by John Wiley & Sons. This book was released on 2009-02-09 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bond Evaluation, Selection, and Management synthesizes fundamental and advanced topics in the field, offering comprehensive coverage of bond and debt management. This text provides readers with the basics needed to understand advanced strategies, and explanations of cutting edge advanced topics. Focusing on concepts, models, and numerical examples, readers are provided with the tools they need to select, evaluate, and manage bonds. Provides a comprehensive exposition of bond and debt management. Covers both the fundamental and advanced topics in the field, including bond derivatives. Focuses on concepts, models, and numerical examples. Reinforces important concepts through review questions, web exercises, and practice problems in each chapter.
Book Synopsis Recent Research in Financial Modelling by : Evert J. Stokking
Download or read book Recent Research in Financial Modelling written by Evert J. Stokking and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book contains a selection of recently revised papers that have initiallybeen presented at two different meetings of the EURO Working Group on Financial Modelling. The papers related to the microstructure of capital markets provide evidence that the price dynamics of financial assets can on- ly be explained - and modelled - on the basis of a careful examination of the decision process which leads traders to interact and fix the equilibrium prices. The papers by Pec- cati, Luciano, Ferrari and Cornaglia belong to this catego- ry, and help considerably unterstand the performance of mar- kets which are relatively far from perfection (owing to thinness, frictions, taxation and the like). This is indeed the case for some European Exchanges. The very foundations of quantitative financial analysis have been discussed in the contributions of Luciano, Canestrelli, Uberti and Van der Meulen. The classical - although recent - advances on the pricing of derivative securities have been analyzed and applied by Kremer, Hallerbach and Jensen/Niel- son, thus demonstrating that established theories still pro- vide space for a deeper investigation. Another major topic of interest relates to empirical studies about how markets behave with respect to theoretical models. In this respect, the contributions of Viren, Bradfield and Wilkie/Pollock are quite significant. They present evidence based on real data discussed in the light of advanced stati- stical techniques. It is apparent that Corporate Finance and Capital Markets are becoming more and more related and in- teractingwith each other.
Book Synopsis The Pricing of the Intersected Contingent Claims and the Fixed Rate Mortgage by : Chia-Wen Lee
Download or read book The Pricing of the Intersected Contingent Claims and the Fixed Rate Mortgage written by Chia-Wen Lee and published by . This book was released on 1992 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Securitization written by Andrew Davidson and published by John Wiley & Sons. This book was released on 2004-04-12 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book fills a very important gap in the mindset of the bond structurer and the investor. Often, the two disciplines approach their tasks ignorant of the perspectives of the other side. But successful structuring requires providing the best value to investors in order to compete, and investors who don’t fully understand structuring will not remain investors for long. Highly recommended!" —Bennett W. Golub, Managing Director, BlackRock, Inc. "An excellent primer on asset securitization, clearly written in plain English and with straightforward mathematical expressions. This book is suitable for both business school students and structured finance market practitioners." —Joseph Hu, PhD, Managing Director, Structured Finance Ratings, Standard & Poor’s "In their new work Securitization: Structuring and Investment Analysis, Andrew Davidson et al. reinforce their preeminence in the alchemy of mortgage securitization. Anyone involved in mortgages neglects Andy’s work at his peril." —Richard T. Pratt, Chairman, Richard T. Pratt Associates; Former Chairman, Merrill Lynch Mortgage Corporation "This book provides an insightful and accessible exploration of securitized real estate markets. As such, it provides a valuable service to those active and interested in these burgeoning markets. The authors have done a wonderful job of gracefully integrating a vast and important subject matter. Accordingly, this book also makes for an excellent textbook for those universities offering one or more courses in this rapidly growing field." —Joseph L. Pagliari, Jr., Kellogg School of Management, Northwestern University
Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Book Synopsis Fixed Income Modelling by : Claus Munk
Download or read book Fixed Income Modelling written by Claus Munk and published by Oxford University Press. This book was released on 2011-06-30 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
Book Synopsis Financial Markets and Financial Crises by : R. Glenn Hubbard
Download or read book Financial Markets and Financial Crises written by R. Glenn Hubbard and published by University of Chicago Press. This book was released on 1991-08-13 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: Warnings of the threat of an impending financial crisis are not new, but do we really know what constitutes an actual episode of crisis and how, once begun, it can be prevented from escalating into a full-blown economic collapse? Using both historical and contemporary episodes of breakdowns in financial trade, contributors to this volume draw insights from theory and empirical data, from the experience of closed and open economies worldwide, and from detailed case studies. They explore the susceptibility of American corporations to economic downturns; the origins of banking panics; and the behavior of financial markets during periods of crisis. Sever papers specifically address the current thrift crisis—including a detailed analysis of the over 500 FSLIC-insured thrifts in the southeast—and seriously challenge the value of recent measures aimed at preventing future collapse in that industry. Government economists and policy makers, scholars of industry and banking, and many in the business community will find these timely papers an invaluable reference.
Book Synopsis Handbook of Finance, Financial Markets and Instruments by : Frank J. Fabozzi
Download or read book Handbook of Finance, Financial Markets and Instruments written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-11-03 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume I: Financial Markets and Instruments skillfully covers the general characteristics of different asset classes, derivative instruments, the markets in which financial instruments trade, and the players in those markets. It also addresses the role of financial markets in an economy, the structure and organization of financial markets, the efficiency of markets, and the determinants of asset pricing and interest rates. Incorporating timely research and in-depth analysis, the Handbook of Finance is a comprehensive 3-Volume Set that covers both established and cutting-edge theories and developments in finance and investing. Other volumes in the set: Handbook of Finance Volume II: Investment Management and Financial Management and Handbook of Finance Volume III: Valuation, Financial Modeling, and Quantitative Tools.
Download or read book Journal of Economic Literature written by and published by . This book was released on 1990 with total page 1272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Foundations and Trends in Finance by :
Download or read book Foundations and Trends in Finance written by and published by . This book was released on 2005 with total page 926 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Banking & Finance written by and published by . This book was released on 1996 with total page 1054 pages. Available in PDF, EPUB and Kindle. Book excerpt:
