Download or read book The Handbook of Fixed Income Securities Chapter 37 Valuation of Bonds with Embedded Options written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Download or read book Bonds with Embedded Options written by Jess B. Yawitz and published by . This book was released on 1987 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Option embedded Bonds written by Israel Nelken and published by Irwin Professional Publishing. This book was released on 1997 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides up-to-date fixed income information, from a skillfully balanced mix of the best minds in both the financial services industry and academia.
Download or read book Puttable and Extendible Bonds written by Salih N. Neftci and published by International Monetary Fund. This book was released on 2003-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative markets in developing countries and eventually increase demand for long-term government bonds. Informal evidence from OECD countries suggests that these bonds were useful in the 1980s, when interest rates were volatile.
Download or read book Valuation of Bonds with Embedded Options written by Mark Koenigsberg and published by . This book was released on 1991 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Call Features and Term to Maturity of Callable Foreign Bonds written by Vince Hooper and published by . This book was released on 1996 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper models the value of "embedded" options in foreign bonds, using stochastic calculus, by assuming that the exchange rate follows a geometric Brownian motion process and the arrival time of an early redemption of the bond by the issuer conforms to a negative exponential distribution. The solution to the stochastic model shows that there is a relationship between the call premium and the expected time to the call. Therefore, the magnitude of the call premium can be viewed as a signal to the market on the firm's or a government treasury's expectations about the future level of interest rates and possible refinancing strategies.
Download or read book Advanced Fixed Income Analysis written by Moorad Choudhry and published by Elsevier. This book was released on 2015-08-28 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation
Download or read book Characterizing Yield Spreads in Bonds with Embedded Options written by Surya Modali and published by . This book was released on 2009 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an examination of the wider yields posted by corporate debt instruments with embedded options compared to those of ordinary corporate debt issues. Apart from credit and liquidity risks, there are other risk components inherent in bonds with embedded options that make their yields much different from those of ordinary bonds. Notable among them would be the risk premium payable for the early redemption feature offered.Option adjusted spread analysis, which is an improvement over previous analytical methods yet with its own limitations, is lately used to perform bond yield analysis. Apparently the attempts made in this direction don't give enough attention to consider the effects of volatility spillover in order to model the spread between the issues with embedded options and those without any. This paper is an attempt to explain the behavior of yield spread in corporate bonds with embedded options taking the effects of volatility and market news into consideration. To take the effects of volatility spillover in the case of bonds with embedded options into consideration, GARCH-M and EGARCH models have been made use of for a total of ten bond pairs, the procedure for which has been illustrated in this paper.
Download or read book Strategic Fixed income Investment written by Thomas S. Y. Ho and published by Irwin Professional Publishing. This book was released on 1990 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Taxation Embedded Options and Corporate Bond Valuation written by Shur-Nuaan Chiou and published by . This book was released on 1993 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fixed Income Analysis written by Barbara S. Petitt and published by John Wiley & Sons. This book was released on 2019-10-22 with total page 944 pages. Available in PDF, EPUB and Kindle. Book excerpt: CFA Institute's essential guide to fixed-income portfolio management, revised and updated Now in its fourth edition, Fixed Income Analysis offers authoritative and up-to-date coverage of how successful investment professionals analyze and manage fixed-income portfolios. With contributions from a team of financial experts, the text is filled with detailed information from CFA Institute and contains a comprehensive review of the essential topics in the field. Fixed Income Analysis introduces the fundamental concepts of fixed-income securities and markets and provides in-depth coverage of fixed-income security valuation and portfolio management. The book contains a general framework for valuation that is designed to be accessible to both professionals and those new to the field. The fourth edition provides updated coverage of fixed-income portfolio management including detailed coverage of liability-driven and index-based strategies, the major types of yield curve strategies, and approaches to implementing active credit strategies. The authors include examples that help build the knowledge and skills needed to effectively manage fixed-income portfolios. Fixed Income Analysis gives a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed-income markets will appreciate this accessible guide to fixed-income analysis.
Download or read book The Handbook of Fixed Income Securities Chapter 2 Risks Associated with Investing in Fixed Income Securities written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Download or read book Bond Evaluation Selection and Management written by R. Stafford Johnson and published by John Wiley & Sons. This book was released on 2010-09-23 with total page 964 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully revised guide to fixed income securities that reflects current market conditions The Second Edition of Bond Evaluation, Selection, and Management combines fundamental and advanced topics in the field, offering comprehensive coverage of bond and debt management. This fully updated and revised edition provides you with the basics needed to understand various strategies, and explanations of cutting edge advanced topics. Focusing on essential concepts, models, and numerical examples, this book will help you quickly become familiar with the tools needed to effectively select, evaluate, and manage bonds. Covers both the fundamental and advanced topics in the field, including debt securities, bonds with embedded options, asset-backed securities, and bond derivatives Reinforces important concepts through review questions, web exercises, and practice problems in each chapter Reviews the history of the credit markets from the 1980s to the present with a retrospective look at the 2008 financial crisis Contains "Interview Boxes" consisting of questions and answers with distinguished fixed-income portfolio managers, traders, analysts, and academicians Filled with in-depth insights and practical advice, this reliable resource offers a solid foundation in understanding the complexities of evaluating and selecting bonds and other fixed income securities.
Download or read book Fixed Income Securities written by Lionel Martellini and published by John Wiley & Sons. This book was released on 2003-07-09 with total page 678 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Download or read book The Survival Zone for a Bond with Both Call and Put Options Embedded written by Theodore Barnhill and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a numerical method to price bonds that have multiple embedded options with an emphasis on the case with both long call and short put options. The valuation framework is a one-factor model for the term structure of interest rates where the instantaneous interest rate is allowed to follow a fairly general stochastic process. The equilibrium interest rates that define the free boundaries for the embedded call and put options are given. We demonstrate the survival zone within which a bond with both long call and short put options remains afloat. We show that even moderate levels of transaction costs can have a significant effect on exercise of options.
Download or read book Sweser study notes 2008 written by and published by . This book was released on 2008 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fixed Income Analysis Workbook written by Barbara S. Petitt and published by John Wiley & Sons. This book was released on 2019-10-17 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: THE THOROUGHLY REVISED AND UPDATED FOURTH EDITION OF THE COMPANION WORKBOOK TO FIXED INCOME ANALYSIS Now in its fourth edition, the Fixed Income Analysis Workbook offers a range of practical information and exercises that will enhance your understanding of the tools, strategies, and techniques associated with fixed-income portfolio management. Written by a team of knowledgeable contributors, this hands-on resource helps busy professionals and those new to the discipline apply the concepts and methodologies that are essential for mastery. The Workbook is an accessible guide for understanding the metrics, methods, and mechanics as applied in the competitive world of fixed-income analysis. It also provides a stress-free way to practice the tools and techniques described in the companion text. The Fixed Income Analysis Workbook includes information and exercises to help you: Work real-world problems associated with fixed-income risk and return Review the fundamentals of asset-backed securities Comprehend the principles of credit analysis Understand the arbitrage-free valuation framework Practice important methods and techniques before applying them in actual situations The fourth edition provides updated coverage of fixed income portfolio management including detailed applications of liability-driven and index-based strategies, exposure to the major types of yield curve strategies, and practical approaches to implementing active credit strategies. For anyone who wants a more solid understanding of fixed-income portfolio management, the Fixed Income Analysis Workbook is a comprehensive and practical resource.
