Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds
Author: Daniel Sommer
Publisher:
Published: 1997
Total Pages: 27
ISBN-13:
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Author: Daniel Sommer
Publisher:
Published: 1997
Total Pages: 27
ISBN-13:
DOWNLOAD EBOOKAuthor: Daniel Sommer
Publisher:
Published: 1996
Total Pages: 130
ISBN-13:
DOWNLOAD EBOOKAuthor: D. Duffie
Publisher:
Published: 2010
Total Pages:
ISBN-13:
DOWNLOAD EBOOKThis article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the valuation of a credit-spread option.
Author: Jessica James
Publisher: John Wiley & Sons
Published: 2000-06-08
Total Pages: 680
ISBN-13:
DOWNLOAD EBOOKBack Cover ( this section should include endorsements also) As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models - both those actively used in practice as well as theoretical models still 'waiting in the wings'. Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds. Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout making it an ideal resource for both practitioners and researchers. Back Flap Jessica James Jessica James is Head of Research for Bank One's Strategic Risk Management group, based in the UK. Jessica started life as a physicist at Manchester University and completed her D Phil in Theoretical Atomic and Nuclear Physics at Christ Church, Oxford, under Professor Sandars. After a year as a college lecturer at Trinity, Oxford, she began work at the First National Bank of Chicago, now Bank One, where she still works. She is well known as a speaker on the conference circuit, lecturing on a variety of topics such as VaR, capital allocation, credit derivatives and interest rate modelling, and has published articles on various aspects of financial modelling. Nick Webber Nick Webber is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick had extensive experience in the industrial and commercial world in operational research and computing. After obtaining a PhD in Theoretical Physics from Imperial College he began research into financial options. His main area of research centres on interest rate modelling and computational finance. He has taught practitioner and academic courses for many years, chiefly on options and interest rates. Front Flap Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using naïve valuation and implementation techniques. There follows a full analysis of interest rate models including major categories, such as Affine, HJM and Market models, and in addition, lesser well known types that include Consol, Random field and Jump-augmented Models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, Lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives. Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementing models for real and for academics teaching and researching in the field.
Author: Peter Malcolm Scot Whitehead
Publisher:
Published: 1999
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Manuel Ammann
Publisher:
Published: 2013
Total Pages:
ISBN-13:
DOWNLOAD EBOOKThis article examines the pricing and hedging of mandatory convertible bonds on the US market using daily market prices for a period of 498 trading days resulting in a sample of over 14,600 daily price observations. We explore the pricing and hedging performance based on a simple contingent claims model. On average, the pricing errors are lower than those found for standard convertible bonds. An analysis of the hedging performance of the model indicates that the model is useful for hedging as, on average, the hedging errors observed are relatively small and mostly unsystematic.
Author: Frederic Abergel
Publisher:
Published: 2013
Total Pages: 13
ISBN-13:
DOWNLOAD EBOOKWe study the influence of taking liquidity costs and market impact into account when hedging a contingent claim, first in the discrete time setting, then in continuous time. In the latter case and in a complete market, we derive a fully non-linear pricing partial differential equation, and characterizes its parabolic nature according to the value of a numerical parameter naturally interpreted as a relaxation coefficient for market impact. We then investigate the more challenging case of stochastic volatility models, and prove the parabolicity of the pricing equation in a particular case.
Author: Leonard Tchuindjo
Publisher:
Published: 2013
Total Pages:
ISBN-13:
DOWNLOAD EBOOKThis paper proposes closed-form solutions for pricing credit-risky discount bonds and their European call and put options in the intensity-based reduced-form framework, assuming the stochastic dynamics of both the risk-free interest rate and the credit-spread are driven by two correlated Ho-Lee models [T.S.Y. Ho, S.B. Lee, Term structure movements and pricing interest rates contingent claims, Journal of Finance 41 (5) (1986) 1011-1029]. The results are easily to implement, and require very few parameters which are directly implied from market data.
Author:
Publisher:
Published: 1997-12-19
Total Pages: 644
ISBN-13:
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