Works matching DE "ZERO coupon securities"

Results: 59

THE PRICING OF PREMIUM BONDS.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 3, p. 517, doi. 10.2307/2330184

By:

Livingston, Miles

Publication type:

Article

When is a GIC Not a GIC?

Published in:

Financial Analysts Journal, 1983, v. 39, n. 1, p. 24, doi. 10.2469/faj.v39.n1.24

By:

West, Richard R.

Publication type:

Article

BOND MARKET STRUCTURE IN THE PRESENCE OF MARKED POINT PROCESSES.

Published in:

Mathematical Finance, 1997, v. 7, n. 2, p. 211, doi. 10.1111/1467-9965.00031

By:

Björk, Tomas;
Kabanov, Yuri;
Runggaldier, Wolfgang

Publication type:

Article

Pricing Zero-Coupon Catastrophe Bonds Using EVT with Doubly Stochastic Poisson Arrivals.

Published in:

Discrete Dynamics in Nature & Society, 2017, p. 1, doi. 10.1155/2017/3279647

By:

Ma, Zonggang;
Ma, Chaoqun;
Xiao, Shisong

Publication type:

Article

An Economic Analysis of Protect Certificates - An Option-Pricing Approach.

Published in:

Banking & Finance Review, 2011, v. 3, n. 2, p. 17

By:

Hernandez, Rodrigo;
Jones, Jeffrey;
Gu, Jenny

Publication type:

Article

Pyrolysis of pressure-sensitive adhesive wastes in a fixed-bed reactor.

Published in:

Energy Sources Part A: Recovery, Utilization & Environmental Effects, 2016, v. 38, n. 17, p. 2553, doi. 10.1080/15567036.2015.1007402

By:

Fu, Xingmin;
Hui, Helong;
Xu, Guohuan;
Jia, Jinwei;
Lu, Mingyuan;
Zhao, Hongyu

Publication type:

Article

A Simple Novel Approach to Valuing Risky Zero Coupon Bond in a Markov Regime Switching Economy.

Published in:

Methodology & Computing in Applied Probability, 2011, v. 13, n. 4, p. 783, doi. 10.1007/s11009-010-9190-y

By:

Deshpande, Amogh

Publication type:

Article

Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model.

Published in:

Journal of Applied Mathematics & Decision Sciences, 2009, v. 2009, p. 1, doi. 10.1155/2009/215163

By:

Guoan Huang;
Guohe Deng;
Lihong Huang

Publication type:

Article

Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve.

Published in:

Our Economy / Nase Gospodarstvo, 2016, v. 62, n. 2, p. 42, doi. 10.1515/ngoe-2016-0011

By:

Lorenčič, Eva

Publication type:

Article

Specification Analysis of Affine Term Structure Models.

Published in:

Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 5, p. 1943, doi. 10.1111/0022-1082.00278

By:

Qiang Dai;
Singleton, Kenneth J.

Publication type:

Article

Default Risk and the Duration of Zero Coupon Bonds.

Published in:

Journal of Finance (Wiley-Blackwell), 1990, v. 45, n. 1, p. 265, doi. 10.1111/j.1540-6261.1990.tb05092.x

By:

Chance, Don M.

Publication type:

Article

DISCUSSION.

Published in:

Journal of Finance (Wiley-Blackwell), 1986, v. 41, n. 3, p. 576, doi. 10.1111/j.1540-6261.1986.tb04517.x

By:

MASON, SCOTT P.

Publication type:

Article

LYON Taming.

Published in:

Journal of Finance (Wiley-Blackwell), 1986, v. 41, n. 3, p. 561, doi. 10.1111/j.1540-6261.1986.tb04516.x

By:

MCCONNELL, JOHN J.;
SCHWARTZ, EDUARDO S.

Publication type:

Article

Deriving Zero-Coupon Rates: Alternatives to Orthodoxy.

Published in:

Financial Analysts Journal, 1996, v. 52, n. 3, p. 51, doi. 10.2469/faj.v52.n3.1995

By:

Kawaller, Ira G.;
Marshall, John F.

Publication type:

Article

On the Risk of Stocks in the Long Run: A Comment.

Published in:

Financial Analysts Journal, 1996, v. 52, n. 2, p. 67, doi. 10.2469/faj.v52.n2.1982

By:

Ferguson, Robert;
Leistikow, Dean

Publication type:

Article

Technical Notes.

Published in:

Financial Analysts Journal, 1985, v. 41, n. 3, p. 76

By:

Helton, Don

Publication type:

Article

Dynamic asset allocation under VaR constraint with stochastic interest rates.

Published in:

Annals of Operations Research, 2009, v. 172, n. 1, p. 97, doi. 10.1007/s10479-008-0509-9

By:

Hainaut, Donatien

Publication type:

Article

Bond pricing with a surface of zero coupon yields.

Published in:

Accounting & Finance, 2013, v. 53, n. 2, p. 497, doi. 10.1111/j.1467-629X.2012.00479.x

By:

Murik, Vijay A.

Publication type:

Article

The stampede to convertibles.

Published in:

Nature Biotechnology, 2003, v. 21, n. 8, p. 855, doi. 10.1038/nbt0803-855

By:

Jacobs, Tom

Publication type:

Article

Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market.

Published in:

Journal of Money, Credit & Banking (Wiley-Blackwell), 2008, v. 40, n. 7, p. 1489, doi. 10.1111/j.1538-4616.2008.00168.x

By:

STEELEY, JAMES M.

Publication type:

Article

Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing.

Published in:

Computational & Applied Mathematics, 2015, v. 34, n. 2, p. 619, doi. 10.1007/s40314-014-0128-9

By:

Chernogorova, T.;
Valkov, R.

Publication type:

Article

Fuzzy Interest Rate Term Structure Equation.

Published in:

International Journal of Fuzzy Systems, 2020, v. 22, n. 3, p. 999, doi. 10.1007/s40815-020-00810-3

By:

Bo, Le;
You, Cuilian

Publication type:

Article

An Immunization Strategy is a Minimax Strategy.

Published in:

Journal of Finance (Wiley-Blackwell), 1979, v. 34, n. 2, p. 389, doi. 10.1111/j.1540-6261.1979.tb02101.x

By:

BIERWAG, G. O.;
KHANG, CHULSOON

Publication type:

Article

Bond Taxation and the Shape of the Yield-to-Maturity Curve.

Published in:

Journal of Finance (Wiley-Blackwell), 1979, v. 34, n. 1, p. 189, doi. 10.1111/j.1540-6261.1979.tb02079.x

By:

LIVINGSTON, MILES

Publication type:

Article

A "DURATION" FALLACY.

Published in:

Journal of Finance (Wiley-Blackwell), 1977, v. 32, n. 1, p. 185, doi. 10.2307/2326913

By:

LIVINGSTON, MILES;
CAKS, JOHN

Publication type:

Article

THE COUPON EFFECT ON YIELD TO MATURITY.

Published in:

Journal of Finance (Wiley-Blackwell), 1977, v. 32, n. 1, p. 103, doi. 10.1111/j.1540-6261.1977.tb03245.x

By:

CAKS, JOHN

Publication type:

Article

LOG-NORMALITY AND ARBITRAGE FREE BOUNDS ON THE DISTRIBUTION RANGE OF ZERO-COUPON PURE DISCOUNT BOND RETURNS.

Published in:

Journal of Business Finance & Accounting, 1995, v. 22, n. 6, p. 769, doi. 10.1111/j.1468-5957.1995.tb00388.x

By:

Prakash, Arun J.;
Smyser, Michael W.;
Hamid, Shahid S.

Publication type:

Article

VALUATION EFFECTS FROM ISSUING ZERO-COUPON DEBT.

Published in:

Journal of Business Finance & Accounting, 1995, v. 22, n. 5, p. 751, doi. 10.1111/j.1468-5957.1995.tb00387.x

By:

Akhigbe, Aigbe;
Madura, Jeff;
Spencer, Carolyn

Publication type:

Article

A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models.

Published in:

Applied Mathematical Finance, 2006, v. 13, n. 1, p. 39, doi. 10.1080/13504860500394367

By:

Krippner, Leo

Publication type:

Article

A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model.

Published in:

Applied Mathematical Finance, 2006, v. 13, n. 1, p. 1, doi. 10.1080/13504860500117602

By:

Henrard, Marc

Publication type:

Article

ON THE INTERLACING OF ZEROS OF LINEAR COMBINATIONS OF JACOBI POLYNOMIALS FROM DIFFERENT SEQUENCES.

Published in:

QM - Quaestiones Mathematicae, 2009, v. 32, n. 1, p. 47, doi. 10.2989/QM.2009.32.1.5.707

By:

Driver, Kathy;
Kerstin Jordaan;
Norbert Mbuyi

Publication type:

Article

NELSON-SIEGEL MODEL APPROACH TO THE EURO AREA YIELD CURVES.

Published in:

Lithuanian Journal of Statistics / Lietuvos Statistikos Darbai, 2017, v. 56, n. 1, p. 53, doi. 10.15388/ljs.2017.13671

By:

Mazanauskaite, Akvile

Publication type:

Article

On the Call Provision in Corporate Zero-Coupon Bonds.

Published in:

Journal of Financial & Quantitative Analysis, 1989, v. 24, n. 1, p. 91, doi. 10.2307/2330750

By:

Narayanan, M. P.;
Lim, Suk-Pil

Publication type:

Article

COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES.

Published in:

International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 6, p. -1, doi. 10.1142/S0219024912500392

By:

BRIGO, DAMIANO;
BUESCU, CRISTIN;
MORINI, MASSIMO

Publication type:

Article

TENOR SPECIFIC PRICING.

Published in:

International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 6, p. -1, doi. 10.1142/S0219024912500434

By:

MADAN, DILIP B.;
SCHOUTENS, WIM

Publication type:

Article

DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES.

Published in:

International Journal of Theoretical & Applied Finance, 2008, v. 11, n. 5, p. 529, doi. 10.1142/S0219024908004919

By:

DETTE, HOLGER;
ZIGGEL, DANIEL

Publication type:

Article

A simple regime switching term structure model.

Published in:

Finance & Stochastics, 2000, v. 4, n. 4, p. 409, doi. 10.1007/PL00013523

By:

Hansen, Asbjørn T.;
Poulsen, Rolf

Publication type:

Article

Implied savings accounts are unique.

Published in:

Finance & Stochastics, 2000, v. 4, n. 4, p. 431, doi. 10.1007/PL00013524

By:

Döberlein, Frank;
Schweizer, Martin;
Stricker, Christophe

Publication type:

Article

Term premium estimates from zero-coupon bonds: New evidence on the expectations hypothesis.

Published in:

Journal of Fixed Income, 1998, v. 8, n. 1, p. 52, doi. 10.3905/jfi.1998.408233

By:

Dhillon, Upinder S.;
Lasser, Dennis J.

Publication type:

Article

What Should You Pay to Cap your ARM?--A Note on Capped Adjustable Rate Mortgages.

Published in:

International Journal of Financial Studies, 2017, v. 5, n. 1, p. 10, doi. 10.3390/ijfs5010010

By:

Nordfang, Maj-Britt

Publication type:

Article

GOLD AND GOVERNMENT.

Published in:

CATO Journal, 2012, v. 32, n. 2, p. 333

By:

Shelton, Judy

Publication type:

Article

Including Credit Standing in Measuring the Fair Value of Liabilities--Let's Pass This One to the Shareholders.

Published in:

Accounting Horizons, 2007, v. 21, n. 2, p. 119, doi. 10.2308/acch.2007.21.2.119

By:

Chasteen, Lanny G.;
Ransom, Charles R.

Publication type:

Article

PRICING EUROPEAN OPTIONS ON ZERO-COUPON BONDS WITH A FITTED FINITE VOLUME METHOD.

Published in:

International Journal of Numerical Analysis & Modeling, 2017, v. 14, n. 3, p. 405

By:

KAI ZHANG;
XIAO QI YANG

Publication type:

Article

A FRONT-FIXING FINITE ELEMENT METHOD FOR THE VALUATION OF AMERICAN PUT OPTIONS ON ZERO-COUPON BONDS.

Published in:

International Journal of Numerical Analysis & Modeling, 2012, v. 9, n. 4, p. 777

By:

HOLMES, ANTHONY D.;
HONGTAO YANG

Publication type:

Article

APPROXIMATE FORMULAE FOR PRICING ZERO-COUPON BONDS AND THEIR ASYMPTOTIC ANALYSIS.

Published in:

International Journal of Numerical Analysis & Modeling, 2009, v. 6, n. 2, p. 274

By:

Stehlíková, B.;
ševčovič, D.

Publication type:

Article

A Stochastic String with a Compound Poisson Process.

Published in:

Abstract & Applied Analysis, 2013, p. 1, doi. 10.1155/2013/857678

By:

Sheng Fan

Publication type:

Article

A regime-switching model with jumps and its application to bond pricing and insurance.

Published in:

Stochastics & Dynamics, 2016, v. 16, n. 6, p. 1, doi. 10.1142/S0219493716500234

By:

Dong, Yinghui;
Wang, Guojing;
Yuen, Kam Chuen

Publication type:

Article

Convolution Equations on a Large Finite Interval with Symbols Having Power-Order Zeros.

Published in:

Journal of Mathematical Sciences, 2017, v. 224, n. 1, p. 54, doi. 10.1007/s10958-017-3393-5

By:

Budylin, A.;
Levin, S.

Publication type:

Article

Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model.

Published in:

Risks, 2017, v. 5, n. 2, p. 26, doi. 10.3390/risks5020026

By:

Cohen, Albert;
Costanzino, Nick

Publication type:

Article

New Financing Instruments for State and Local Capital Facilities.

Published in:

Public Budgeting & Finance, 1998, v. 18, n. 3, p. 24, doi. 10.1046/j.0275-1100.1998.01140.x

By:

Steiss, Alan Walter

Publication type:

Article