Conditional lognormal model of zero-coupon bond
نویسندگان
چکیده
منابع مشابه
Risky coupon bonds as a portfolio of zero-coupon bonds
This paper characterizes conditions under which a risky coupon bond is equivalent to a portfolio of risky zero-coupon bonds. This characterization is extended to enable the estimation of firm specific zero-coupon bond prices from risky coupon bond prices for the determination of firm specific credit risk curves. 2004 Elsevier Inc. All rights reserved.
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Three alternative approaches to the valuation of a defaultable coupon bond in an extended Merton’s model are given. Probabilistic approach yields a closed-form expression for the arbitrage price of this bond. A boundary value problem method is based on the concept of an CD-extended generator for Markov processes. The third approach relies on a recursive procedure method in which at every step a...
متن کاملTesting Merton’s Model for Credit Speads on Zero-Coupon Bonds
Structural models for valuing corporate bonds (beginning with Merton (1974)) have been criticised for giving spreads which are (a) too small and (b) have a term structure in which spreads diminish with extra time to maturity. Empirical tests of models are hampered by the complexity of real-world bonds, which have coupons, calls and sinking funds, and also by the complicated and changing capital...
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Structural models for valuing corporate bonds (beginning with Merton (1974)) have been criticised for giving spreads which are (a) too small and (b) have a term structure in which spreads diminish with extra time to maturity. Empirical tests of models are hampered by the complexity of real-world bonds, which have coupons, calls and sinking funds, and also by the complicated and changing capital...
متن کاملComparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility
The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKKGARCH model and the DCCGARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility f...
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ژورنال
عنوان ژورنال: Herald of CEMI
سال: 2018
ISSN: 2658-3887
DOI: 10.33276/s0000101-4-1