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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 (...
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...