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Showing 1 to 13 of 13 for “"Bond pricing"”.

  1. Discrete symmetry analysis of partial differential equations for bond pricing

    Ledwaba, Nomsa MaripaDepartment of Mathematics and Applied Mathematics2018

    … underlies the theory of financial derivatives pricing and hedging [40]. We use arbitrage together with the Black-Scholes model for asset price movements when trading derivative securities. 1Arbitrage is used to creating a portfolio and the discrete symmetries show how to create a portfolio. …

    cape-town Repository record

  2. Explaining the divergence between stock and corporate bond pricing: the role of firm-specific factors

    Hoorn, R.J.J. van2025

    tilburg Repository record

  3. The impact of fair value disclosure on bond risk premium and debt capital structure

    Wang, DongyiUniversity of Illinois at Urbana-Champaign2019

    … of fair value estimates in the context of bond pricing. Using a sample of US industrial firms, the main test compares the debt relevance, defined as the contemporaneous association between balance sheet variables and the bond risk premium, between firms having fair-value-oriented balance …

    uiuc Repository record

  4. Index-linked catastrophe instrument valuation

    Giuricich, Mario NicoloDivision of Actuarial Science2018

    … Chapter 3 we propose an index-linked catastrophe bond pricing model, which pervades in subsequent chapters. We furthermore show how, under certain assumptions, our model can use real-world catastrophe loss-data to find arbitrage-free, index-linked catastrophe bond prices. Chapter 4 demonstrates …

    cape-town Repository record

  5. Pricing Weather Derivatives

    Bah, Abu BakarThe University of Western Ontario2003

    … with historical option payouts. We also use bond pricing techniques to calculate the expected temperature, which we compare with the mean of the temperature obtained from our model. We find that our model gives reasonable results for the degree day options we seek to price.

    uwo Repository record

  6. Survivor bond models for securitizing longevity risk

    Codjoe, Priscilla MansahMissouri University of Science and Technology

    … of dealing with this risk.</p><p>To enhance the pricing of life contingent products, we present an additive type mortality model in the style of the Lee-Carter. This model incorporates policyholder covariates. By using counting processes and martingale machinery, we obtain close form …

    must-thes Repository record

  7. Term structure models with unspanned factors and unspanned stochastic volatility

    Backwell, AlexanderAfrican Institute of Financial Markets and Risk Management2018

    … to share a particular affine form for their bond pricing functions; and to necessarily exhibit a short-term interest rate with dynamics of a certain type. A specific bivariate USV model is then proposed, which is analysed and compared to others in the literature.

    cape-town Repository record

  8. Application of Lie symmetries to Solving Partial Differential Equations associated with the Mathematics of Finance

    Kaibe, Bosiu CUniversity of Essex2021

    … the iinance literature as the main vehicle for pricing contingent claims such as call and put options, together with all other financial derivatives. Due to their work a rich arsenal of methods of theory of partial differential equations were suddenly available for mathematicians working in the …

    essex Repository record

  9. Essays on Green Finance

    Allman, ElsaThe Graduate School and University Center of The City University of New York2022

    <p><strong>Chapter 1: Pricing Climate Change Risk in Corporate Bonds</strong></p> <p>Using a firm’s geographic footprint to measure its exposure to sea level rise (SLR), I find that corporate bonds bear a climate risk premium upon issuance. A one standard deviation increase in firms’ SLR exposure …

    cuny-grad Repository record

  10. Credit risk modelling in Markovian HJM term structure class of models with stochastic volatility

    Maina, SC2011

    … the distributional properties of the defaultable bond price and bond returns which reveals the existence of a left tail. Credit Derivative Pricing under a Markovian HJM Term Structure Model with (Diffusion Driven) Humped Volatility - Chapter 3. We verify that under the assumption of a humped …

    uts Repository record

  11. Corporate Bonds and Equities: A Comparison of Returns

    Maitra, AnandoUniversity of Cambridge2022

    … are amongst the most researched areas in asset pricing literature. Data availability and the liquid and transparent nature of equity markets have aided research in this domain. The research on corporate bond markets is considerably less due to both the illiquid and over-the-counter (OTC) nature …

    cambridge Repository record

  12. Determinants of U.S. corporate credit spreads.

    Kume, OrtencaRobert Gordon University2012

    … between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. However, the premium required by investors for holding risky rather than risk-free bonds will incorporate …

    rgu Repository record

  13. Essays in Financial Economics and Asset Pricing

    Zhao, BinyuRice University2024

    … Chapter 1, The Information Content of Municipal Bond Auctions, explores the information contents of municipal bond auctions. Based on the auction data of municipalities in the U.S. from the year 2018 to 2019, this paper tests whether the dispersion of bidders’ values leads to overpricing of …

    rice Repository record