Approximate formulae for pricing zero- coupon bonds and their asymptotic analysis. International J. Numerical Analysis Modeling.2009; 6; 274-283.B.Stehlikova and D.Sevcovic.Approximate formulae for pricing zero-coopon bonds and their asymptotic analysis[J].Int.ernational Journalof NumericalAnalysis...
As mentioned above, the right technique to value a bond is to find out the present value of the future cash flows of the bond. Cash flows from the bond are nothing but the coupon payments made every year (or quarter or semi-annually). The final bond price is the sum of all the coup...
With the development of coastal economics and society,storm surge disaster is one of the most major natural disasters influencing China's coastal area,which seriously restricted its sustainable development.This paper derives a zerocoupon typhoon bonds pricing formula in a stochastic interest rates environ...
Lie-Algebraic approach for pricing zero-coupon bonds in single-factor interest rate models. Journal of Applied Mathematics, 2013, http://dx.doi.org/10.1155/2013/276238.Lo, C.F.: Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models. J. Appl. Math. 2013...
Using a pricing formula for options on coupon bonds (Jamshidian [1989], El Karoui and Rochet [1990]) we are able to compute the actuarial pricing of deposit insurance for a commercial bank. Our formula takes into account the maturity structure of the bank's balance sheet, as well as marke...
coupon payment bond that is actively traded on the market and with a market price of $80. Bond C is a 2-year 12% annual coupon payment bond that is actively traded on the market and with a market price of $120. All bonds come with aface valueof $100. In order to price Bond A...
There is a sharp decrease in bond valuations for bonds with longer maturities than for bonds with shorter maturities as the interest rate rises. The bond duration factor is another name for this. 3. Bond Structure Many elements in the bond’s structure can affect the price. A fixed coupon ...
Finally, we use the simulated loss data to price two types of catastrophe bonds (zero-coupon and coupon bonds) for different thresholds and maturity times. Although the present application focuses on earthquakes, the framework can potentially be applied to other natural disasters, such as hurricanes...
Unfortunately, the number of models givingrise to analytical formulae for option pricing or even zero-coupon bonds is minimal. Therefore,models that can generate realistic implied volatilities while allowing for ef f i cient derivativepricing are in high demand, especially when the portfolios need ...
Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis. Journal of Fixed Income 8(2), 69-86Eom, Y., M. Subrahmanyam and J. Uno (1998) Coupon effects and the pricing of Japanese government bonds: an empirical analysis, Journal of Fixed Income, Sept., 69-86....