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Option Pricing with Finite Difference Using a Pull-to-Par Bond Model.
- Published in:
- Journal of Fixed Income, 2023, v. 33, n. 2, p. 129, doi. 10.3905/jfi.2023.1.163
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- Article
Fuzzy Interest Rate Term Structure Equation.
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- International Journal of Fuzzy Systems, 2020, v. 22, n. 3, p. 999, doi. 10.1007/s40815-020-00810-3
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- Article
Pricing Zero-Coupon Catastrophe Bonds Using EVT with Doubly Stochastic Poisson Arrivals.
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- Discrete Dynamics in Nature & Society, 2017, p. 1, doi. 10.1155/2017/3279647
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- Article
Convolution Equations on a Large Finite Interval with Symbols Having Power-Order Zeros.
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- Journal of Mathematical Sciences, 2017, v. 224, n. 1, p. 54, doi. 10.1007/s10958-017-3393-5
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- Article
PRICING EUROPEAN OPTIONS ON ZERO-COUPON BONDS WITH A FITTED FINITE VOLUME METHOD.
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- International Journal of Numerical Analysis & Modeling, 2017, v. 14, n. 3, p. 405
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- Article
Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model.
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- Risks, 2017, v. 5, n. 2, p. 26, doi. 10.3390/risks5020026
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- Article
What Should You Pay to Cap your ARM?--A Note on Capped Adjustable Rate Mortgages.
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- International Journal of Financial Studies, 2017, v. 5, n. 1, p. 10, doi. 10.3390/ijfs5010010
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- Article
NELSON-SIEGEL MODEL APPROACH TO THE EURO AREA YIELD CURVES.
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- Lithuanian Journal of Statistics / Lietuvos Statistikos Darbai, 2017, v. 56, n. 1, p. 53, doi. 10.15388/ljs.2017.13671
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- Article
A regime-switching model with jumps and its application to bond pricing and insurance.
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- Stochastics & Dynamics, 2016, v. 16, n. 6, p. 1, doi. 10.1142/S0219493716500234
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- Article
Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve.
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- Our Economy / Nase Gospodarstvo, 2016, v. 62, n. 2, p. 42, doi. 10.1515/ngoe-2016-0011
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- Article
Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing.
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- Computational & Applied Mathematics, 2015, v. 34, n. 2, p. 619, doi. 10.1007/s40314-014-0128-9
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- Article
Bond pricing with a surface of zero coupon yields.
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- Accounting & Finance, 2013, v. 53, n. 2, p. 497, doi. 10.1111/j.1467-629X.2012.00479.x
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- Article
A Stochastic String with a Compound Poisson Process.
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- Abstract & Applied Analysis, 2013, p. 1, doi. 10.1155/2013/857678
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- Article
A FRONT-FIXING FINITE ELEMENT METHOD FOR THE VALUATION OF AMERICAN PUT OPTIONS ON ZERO-COUPON BONDS.
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- International Journal of Numerical Analysis & Modeling, 2012, v. 9, n. 4, p. 777
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- Article
COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 6, p. -1, doi. 10.1142/S0219024912500392
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- Article
TENOR SPECIFIC PRICING.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 6, p. -1, doi. 10.1142/S0219024912500434
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- Article
GOLD AND GOVERNMENT.
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- CATO Journal, 2012, v. 32, n. 2, p. 333
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- Article
An Economic Analysis of Protect Certificates - An Option-Pricing Approach.
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- Banking & Finance Review, 2011, v. 3, n. 2, p. 17
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- Article
The Anatomy of Principal-Protected Absolute Return Barrier Notes.
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- Journal of Derivatives, 2011, v. 19, n. 2, p. 61, doi. 10.3905/jod.2011.19.2.061
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- Article
A Simple Novel Approach to Valuing Risky Zero Coupon Bond in a Markov Regime Switching Economy.
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- Methodology & Computing in Applied Probability, 2011, v. 13, n. 4, p. 783, doi. 10.1007/s11009-010-9190-y
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- Article
Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk.
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- Review of Financial Studies, 2010, v. 23, n. 5, p. 2184, doi. 10.1093/rfs/hhq007
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- Article
Dynamic asset allocation under VaR constraint with stochastic interest rates.
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- Annals of Operations Research, 2009, v. 172, n. 1, p. 97, doi. 10.1007/s10479-008-0509-9
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- Article
APPROXIMATE FORMULAE FOR PRICING ZERO-COUPON BONDS AND THEIR ASYMPTOTIC ANALYSIS.
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- International Journal of Numerical Analysis & Modeling, 2009, v. 6, n. 2, p. 274
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- Article
Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model.
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- Journal of Applied Mathematics & Decision Sciences, 2009, v. 2009, p. 1, doi. 10.1155/2009/215163
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- Article
Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market.
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- Journal of Money, Credit & Banking (Wiley-Blackwell), 2008, v. 40, n. 7, p. 1489, doi. 10.1111/j.1538-4616.2008.00168.x
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- Article
DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES.
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- International Journal of Theoretical & Applied Finance, 2008, v. 11, n. 5, p. 529, doi. 10.1142/S0219024908004919
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- Article
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields.
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- Review of Financial Studies, 2007, v. 20, n. 5, p. 1669, doi. 10.1093/rfs/hhm021
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- Article
Including Credit Standing in Measuring the Fair Value of Liabilities--Let's Pass This One to the Shareholders.
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- Accounting Horizons, 2007, v. 21, n. 2, p. 119, doi. 10.2308/acch.2007.21.2.119
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- Article
The stampede to convertibles.
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- Nature Biotechnology, 2003, v. 21, n. 8, p. 855, doi. 10.1038/nbt0803-855
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- Article
Avaliação de títulos conversíveis com opções de compra e de venda.
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- Revista de Economia e Administração, 2002, v. 1, n. 4, p. 57, doi. 10.11132/rea.2002.27
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- Article
A simple regime switching term structure model.
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- Finance & Stochastics, 2000, v. 4, n. 4, p. 409, doi. 10.1007/PL00013523
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- Article
Implied savings accounts are unique.
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- Finance & Stochastics, 2000, v. 4, n. 4, p. 431, doi. 10.1007/PL00013524
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- Article
Specification Analysis of Affine Term Structure Models.
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- Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 5, p. 1943, doi. 10.1111/0022-1082.00278
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- Article
New Financing Instruments for State and Local Capital Facilities.
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- Public Budgeting & Finance, 1998, v. 18, n. 3, p. 24, doi. 10.1046/j.0275-1100.1998.01140.x
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- Article
Term premium estimates from zero-coupon bonds: New evidence on the expectations hypothesis.
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- Journal of Fixed Income, 1998, v. 8, n. 1, p. 52, doi. 10.3905/jfi.1998.408233
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- Article
BOND MARKET STRUCTURE IN THE PRESENCE OF MARKED POINT PROCESSES.
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- Mathematical Finance, 1997, v. 7, n. 2, p. 211, doi. 10.1111/1467-9965.00031
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- Article
LOG-NORMALITY AND ARBITRAGE FREE BOUNDS ON THE DISTRIBUTION RANGE OF ZERO-COUPON PURE DISCOUNT BOND RETURNS.
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- Journal of Business Finance & Accounting, 1995, v. 22, n. 6, p. 769, doi. 10.1111/j.1468-5957.1995.tb00388.x
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- Article
VALUATION EFFECTS FROM ISSUING ZERO-COUPON DEBT.
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- Journal of Business Finance & Accounting, 1995, v. 22, n. 5, p. 751, doi. 10.1111/j.1468-5957.1995.tb00387.x
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- Article
Default Risk and the Duration of Zero Coupon Bonds.
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- Journal of Finance (Wiley-Blackwell), 1990, v. 45, n. 1, p. 265, doi. 10.1111/j.1540-6261.1990.tb05092.x
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- Article
On the Call Provision in Corporate Zero-Coupon Bonds.
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- Journal of Financial & Quantitative Analysis, 1989, v. 24, n. 1, p. 91, doi. 10.2307/2330750
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- 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
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DISCUSSION.
- Published in:
- Journal of Finance (Wiley-Blackwell), 1986, v. 41, n. 3, p. 576, doi. 10.1111/j.1540-6261.1986.tb04517.x
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- Article
When are zero coupon bonds the better buy?
- Published in:
- Journal of Portfolio Management, 1984, v. 10, n. 3, p. 36, doi. 10.3905/jpm.1984.36
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- Article
The art of risk management in bond portfolios.
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- Journal of Portfolio Management, 1981, v. 7, n. 3, p. 27, doi. 10.3905/jpm.1981.408806
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- Article
THE PRICING OF PREMIUM BONDS.
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- Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 3, p. 517, doi. 10.2307/2330184
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- Article
An Immunization Strategy is a Minimax Strategy.
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- Journal of Finance (Wiley-Blackwell), 1979, v. 34, n. 2, p. 389, doi. 10.1111/j.1540-6261.1979.tb02101.x
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- 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
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- 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
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- Article
A "DURATION" FALLACY.
- Published in:
- Journal of Finance (Wiley-Blackwell), 1977, v. 32, n. 1, p. 185, doi. 10.2307/2326913
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- Article