Option embedded bonds: price analysis, credit risk and investment strategies
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Chicago [u.a]
Irwin
1997
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIV, 305 S. graph. Darst. 1 Diskette (3,5") |
| ISBN: | 0786308184 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV011284623 | ||
| 003 | DE-604 | ||
| 005 | 19970417 | ||
| 007 | t | ||
| 008 | 970407s1997 d||| |||| 00||| eng d | ||
| 020 | |a 0786308184 |9 0-7863-0818-4 | ||
| 035 | |a (OCoLC)34839795 | ||
| 035 | |a (DE-599)BVBBV011284623 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-703 | ||
| 050 | 0 | |a HG4651 | |
| 082 | 0 | |a 332.63/23 |2 20 | |
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 245 | 1 | 0 | |a Option embedded bonds |b price analysis, credit risk and investment strategies |c Israel Nelken, ed. |
| 264 | 1 | |a Chicago [u.a] |b Irwin |c 1997 | |
| 300 | |a XXIV, 305 S. |b graph. Darst. |e 1 Diskette (3,5") | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Bonds | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Options (Finance) | |
| 650 | 0 | 7 | |a Rentenmarkt |0 (DE-588)4177794-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Optionshandel |0 (DE-588)4126185-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Rentenmarkt |0 (DE-588)4177794-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Optionshandel |0 (DE-588)4126185-9 |D s |
| 689 | 1 | |5 DE-604 | |
| 700 | 1 | |a Nelken, Israel |e Sonstige |4 oth | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007578217&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-007578217 | ||
Record in the Search Index
| _version_ | 1804125789261660160 |
|---|---|
| adam_text | PARTI
TERM STRUCTURE MODELS AND FORECASTING 1
1 Yield Curve Models: A Mathematical Review 3
2 Computational Aspects of Term Structure
Models and Pricing Interest Rate Derivatives 37
3 A Fundamental Approach for Forecasting
Interest Rates with an Application to
the Deutsche Mark Yield Curve 59
PART 2
MEASURES OF RISK 77
4 The Graver Risk Measure 79
5 Market versus Accounting Based
Measures of Default Risk 89
PART 3
THE INSTRUMENTS 109
6 Calculating Average Life for
Bonds with Embedded Options 111
7 Black Scholes Approximation of Complex
Option Values: The Cases of European
Compound Call Options and Equity Warrents 127
8 Convertible Bonds and Preferred Shares 155
9 A New Approach to Evaluating
Mortgage Backed Securities 171
10 Index, Asset, and Mortgage Swaps 197
11 Pricing Derivatives on Risky Bonds
as Applied to Emerging Markets 231
12 Interest Rates and Life Insurance 257
ix
13 Options on Volatility 273
Appendix: Software Installation Guide
and User s Manual for the Excel Interface 287
Index 303
CONTENTS Author Biographies xvii
PARTI
TERM STRUCTURE MODELS AND FORECASTING 1
Chapter 1
Yield Curve Models: A Mathematical Review 3
Kerry Back
Yields and the Short Rate 3
Continuous Time Models 4
Stochastic Calculus 4
Risk Neutral Pricing 13
Factor Models 19
Heath Jarrow Morton Approach 28
Chapter 2
Computational Aspects of Term Structure Models
and Pricing Interest Rate Derivatives 37
Les Clewlow, Stewart Hodges, Kin Pang, and Chris Strickland
An Overview of the Models 38
Building Trees Consistent with the Observed Yield
and Yield Volatility Curves 42
Pricing Interest Rate Derivatives Using Trees 48
Pricing Interest Rate Exotics Using Short Rate Trees 49
Non Markovian Short Rate Models 52
Conclusions 56
Chapter 3
A Fundamental Approach for Forecasting Interest Rates with an
Application to the Deutsche Mark Yield Curve 59
Christian L. Dunis
Theoretical Considerations 60
xi
The Empirical Investigation 64
An Application to the Deutsche Mark Yield Curve 69
Conclusion 75
PART 2
MEASURES OF RISK 77
Chapter 4
The Graver Risk Measure 79
Paul Graver
Price Risk 79
Credit Risk 81
Liquidity Risk 83
Graver Risk Measure 85
New Efficient Frontier 85
Chapter 5
Market versus Accounting Based Measures of Default Risk 89
/. A. McQuown
The Problem 91
A Market Based Measure of Default Risk 92
Obtaining Discriminating Numbers 96
Private Borrowers 106
A Postscript 108
PART 3
THE INSTRUMENTS 109
Chapter 6
Calculating Average Life for Bonds with Embedded Options 111
Gunnar Klinkhammer, Robert Navin, and Barry Ryan
Review of the Valuation of Bonds with Embedded Options 113
Calculation of the Expected Time of Option Exercise 118
Outlook 124
Chapter 7
Black Scholes Approximation of Complex Option Values:
The Cases of European Compound Call Options and
Equity Warrants 127
Alain Bensoussan, Michel Crvuhy, and Dan Galai
Preliminary Technical Properties 130
Applications to the Pricing of European Compound Call Options
and Equity Warrants 132
Conclusion 144
Appendixes 149
Chapter 8
Convertible Bonds and Preferred Shares 155
7221/ Nelken
A Convertible Primer 155
Modeling Hybrid Instruments 162
Case Study 167
Conclusion 169
Chapter 9
A New Approach to Evaluating Mortgage Backed Securities 171
Gifford Fong, Dunmu ]i, and Daizhan Cheng
Contingent Claims Models 172
Closed Form Valuation Model 173
Monte Carlo Simulation 176
New Approach for Stochastic Integral 176
Theoretical Explanations 182
Numerical Result 183
Conclusion 183
Appendix 9 1 185
Appendix 9 2 186
Chapter 10
Index, Asset, and Mortgage Swaps 197
Ravit Efraty
What Are Index Swaps? 197
Index Swaps—Appendix 203
What Are Asset Swaps? 207
What Are Mortgage Swap Agreements? 223
Summary 229
Chapter 11
Pricing Derivatives on Risky Bonds as Applied to
Emerging Markets 231
P Calderini, V Finkelstein, andB.Y. Gelfcmd
Basic EM Bond Mathematics 235
Modeling Derivatives on Risky Assets in Closed Form 239
Beyond Default Adjusted Black Scholes 250
Conclusions 254
Chapter 12
Interest Rates and Life Insurance 257
/. P. Hunziker and P. Koch Medina
Insurable Risks 258
life Insurance Contracts I: The Classicle Endowment 260
Life Insurance Contracts II: The Guaranteed Investment
Contract (GIC) 263
life Insurance Contracts III: Index Linked Insurance Products 264
Targeting a Zero Bond 265
The Surrender Option: Exercise by Death 266
The Surrender Option: The General Case 268
Interest Rate Models 269
Concluding Comments 269
Chapter 13
Options on Volatility 273
Menachem Brenner and Dan Galai
The Need for Volatility Options and Futures 275
Constructing a Volatility Index—Theoretical Considerations 278
Constructing a Volatility Index—An Application 280
Valuation of Volatility Options 282
Conclusions 284
Appendix: Software Installation Guide and User s Manual
for the Excel Interface 287
Index 303
|
| any_adam_object | 1 |
| building | Verbundindex |
| bvnumber | BV011284623 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4651 |
| callnumber-raw | HG4651 |
| callnumber-search | HG4651 |
| callnumber-sort | HG 44651 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)34839795 (DE-599)BVBBV011284623 |
| dewey-full | 332.63/23 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/23 |
| dewey-search | 332.63/23 |
| dewey-sort | 3332.63 223 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01477nam a2200409 c 4500</leader><controlfield tag="001">BV011284623</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">19970417 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">970407s1997 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0786308184</subfield><subfield code="9">0-7863-0818-4</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)34839795</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV011284623</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4651</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/23</subfield><subfield code="2">20</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Option embedded bonds</subfield><subfield code="b">price analysis, credit risk and investment strategies</subfield><subfield code="c">Israel Nelken, ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Chicago [u.a]</subfield><subfield code="b">Irwin</subfield><subfield code="c">1997</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XXIV, 305 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="e">1 Diskette (3,5")</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bonds</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Options (Finance)</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Rentenmarkt</subfield><subfield code="0">(DE-588)4177794-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionshandel</subfield><subfield code="0">(DE-588)4126185-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Rentenmarkt</subfield><subfield code="0">(DE-588)4177794-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Optionshandel</subfield><subfield code="0">(DE-588)4126185-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Nelken, Israel</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007578217&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-007578217</subfield></datafield></record></collection> |
| id | DE-604.BV011284623 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:07:08Z |
| institution | BVB |
| isbn | 0786308184 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007578217 |
| oclc_num | 34839795 |
| open_access_boolean | |
| owner | DE-703 |
| owner_facet | DE-703 |
| physical | XXIV, 305 S. graph. Darst. 1 Diskette (3,5") |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Irwin |
| record_format | marc |
| spelling | Option embedded bonds price analysis, credit risk and investment strategies Israel Nelken, ed. Chicago [u.a] Irwin 1997 XXIV, 305 S. graph. Darst. 1 Diskette (3,5") txt rdacontent n rdamedia nc rdacarrier Bonds Derivative securities Options (Finance) Rentenmarkt (DE-588)4177794-3 gnd rswk-swf Optionshandel (DE-588)4126185-9 gnd rswk-swf Rentenmarkt (DE-588)4177794-3 s DE-604 Optionshandel (DE-588)4126185-9 s Nelken, Israel Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007578217&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Option embedded bonds price analysis, credit risk and investment strategies Bonds Derivative securities Options (Finance) Rentenmarkt (DE-588)4177794-3 gnd Optionshandel (DE-588)4126185-9 gnd |
| subject_GND | (DE-588)4177794-3 (DE-588)4126185-9 |
| title | Option embedded bonds price analysis, credit risk and investment strategies |
| title_auth | Option embedded bonds price analysis, credit risk and investment strategies |
| title_exact_search | Option embedded bonds price analysis, credit risk and investment strategies |
| title_full | Option embedded bonds price analysis, credit risk and investment strategies Israel Nelken, ed. |
| title_fullStr | Option embedded bonds price analysis, credit risk and investment strategies Israel Nelken, ed. |
| title_full_unstemmed | Option embedded bonds price analysis, credit risk and investment strategies Israel Nelken, ed. |
| title_short | Option embedded bonds |
| title_sort | option embedded bonds price analysis credit risk and investment strategies |
| title_sub | price analysis, credit risk and investment strategies |
| topic | Bonds Derivative securities Options (Finance) Rentenmarkt (DE-588)4177794-3 gnd Optionshandel (DE-588)4126185-9 gnd |
| topic_facet | Bonds Derivative securities Options (Finance) Rentenmarkt Optionshandel |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007578217&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT nelkenisrael optionembeddedbondspriceanalysiscreditriskandinvestmentstrategies |