Contributions of The Journal of Fixed Income to Fixed-Income Analytics.
FJ Fabozzi - Journal of Fixed Income, 2022 - search.ebscohost.com
In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …
than 900 articles have been published in the journal since then, educating market …
[HTML][HTML] Valuation of Game Option Bonds under the Generalized Ho-Lee model: A Stochastic Game Approach
N Ochiai, M Ohnishi - Journal of Mathematical Finance, 2015 - scirp.org
We propose a valuation for the bond in which an issuer and a holder are simultaneously
granted the right to exercise a call and put options. As the term structure model of interest …
granted the right to exercise a call and put options. As the term structure model of interest …
Unified Model Arbitrage-Free Term Structure of Flow Risks
TSY Ho, SB Lee - Encyclopedia of Finance, 2021 - Springer
Interest movement models are important to financial modeling because they can be used for
valuing any financial instruments whose values are affected by interest rate movements …
valuing any financial instruments whose values are affected by interest rate movements …
Another Look at the Ho–Lee Bond Option Pricing Model
In this article, we extend the classical Ho–Lee binomial term structure model to the case of
timedependent parameters and, as a result, resolve a drawback associated with the model …
timedependent parameters and, as a result, resolve a drawback associated with the model …
[PDF][PDF] A Valuation of Callable and Putable Bonds under the Two-Factor Generalized Ho-Lee model for Interest Rate and Credit Risks (Mathematical Model under …
落合夏海， 大西匡光 - 数理解析研究所講究録, 2015 - repository.kulib.kyoto-u.ac.jp
本稿の目的は, 金利リスクと信用リスクを考慮して, 債券を原資産とする金利デリバテイブの無裁定
価格評価を行うことである. 一般に,「信用リスク」 とは, 取引相手の経営の悪化や倒産を原因とする …
価格評価を行うことである. 一般に,「信用リスク」 とは, 取引相手の経営の悪化や倒産を原因とする …
[PDF][PDF] A Valuation of Callable and Putable Bonds under the Two-Factor Generalized Ho-Lee model
N Ochiai, M Ohnishi - 数理解析研究所講究録, 2015 - academia.edu
本稿の目的は, 金利リスクと信用リスクを考慮して, 債券を原資産とする金利デリバテイブの無裁定
価格評価を行うことである. 一般に,「信用リスク」 とは, 取引相手の経営の悪化や倒産を原因とする …
価格評価を行うことである. 一般に,「信用リスク」 とは, 取引相手の経営の悪化や倒産を原因とする …
A Unified Model: Arbitrage-free Term Structure Movements of Flow Risks
TSY Ho, SB Lee - 한국재무학회 학술대회, 2012 - earticle.net
This paper first dichotomizes risk drivers into “stock” or “flow” attributes. Stock risk drivers are
prices of tradable securities and flow risk drivers are rates represented by the stochastic …
prices of tradable securities and flow risk drivers are rates represented by the stochastic …