Three Essays in Pricing Interest Rate Derivatives
Author | : I-Yuan Chuang |
Publisher | : |
Total Pages | : 226 |
Release | : 1998 |
Genre | : |
ISBN | : |
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Author | : I-Yuan Chuang |
Publisher | : |
Total Pages | : 226 |
Release | : 1998 |
Genre | : |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Author | : Bing Han |
Publisher | : |
Total Pages | : 444 |
Release | : 2002 |
Genre | : Bond market |
ISBN | : |
Author | : Wei Feng |
Publisher | : |
Total Pages | : 192 |
Release | : 2002 |
Genre | : |
ISBN | : |
Author | : Ravi Shanker Mateti |
Publisher | : |
Total Pages | : 127 |
Release | : 2007 |
Genre | : |
ISBN | : 9781109909371 |
Then we show how the Das and Sundaram model can be extended to price convertible bonds which have a peculiar conversion feature; these bonds are convertible not into the stock of the bond issuer, but into the stock of a different company. We also test the empirical performance of this extended model.
Author | : Gerald Alfred Hanweck |
Publisher | : |
Total Pages | : 112 |
Release | : 1994 |
Genre | : |
ISBN | : |
Author | : Christian Scherr |
Publisher | : |
Total Pages | : 72 |
Release | : 2013 |
Genre | : |
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Author | : Nabil Tahani |
Publisher | : |
Total Pages | : 224 |
Release | : 2004 |
Genre | : |
ISBN | : |
Author | : Bin Huangfu |
Publisher | : |
Total Pages | : 244 |
Release | : 2007 |
Genre | : |
ISBN | : |
Author | : Robert A. Jarrow |
Publisher | : World Scientific |
Total Pages | : 609 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 9812819207 |
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath?Jarrow?Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.