The paper analyzes the decision made by firms to issue one-time coupons as a means of attracting new deal-prone customers. Given the structure of the market and the share of loyal customers, we derive boundaries for the value of the coupon, as well as the optimal face value of the coupon. The main variables which determine the coupon value are: the size of deal-prone and loyal market segments, ...

Coupon bond European and barrier options are financial derivatives that can be analyzed in the Hamiltonian formulation of quantum finance. Forward interest rates are modeled as a two-dimensional quantum field theory and its Hamiltonian and state space is defined. European and barrier options are realized as transition amplitudes of the time integrated Hamiltonian operator. The double barrier op...

We present an explicit formula for European options on coupon bearing bonds and swaptions in the Heath-Jarrow-Morton (HJM) one factor model with non-stochastic volatility. The formula extends the Jamshidian formula for zero-coupon bonds. We provide also an explicit way to compute the hedging ratio (∆) to hedge the option with its underlying.

Coupons are collected one at a time from a population containing n distinct types of coupon. The process is repeated until all n coupons have been collected and the total number of draws, Y , from the population is recorded. It is assumed that the draws from the population are independent and identically distributed (draws with replacement) according to a probability distributionXwith the proba...

Structural elements, such as stiffened panels, are designed by combining material strength data obtained from coupon tests with a failure theory for 3D stress field. Material variability is captured by dozens of coupon tests, but there remains epistemic uncertainty due to error in the failure theory, which can be reduced by element tests. Conservativeness to compensate for the uncertainty in fa...

The classic Coupon-Collector Problem (CCP) is generalized. Only basic probability theory is used. Centerpiece rather is an algorithm that efficiently counts all k-element transversals of a set system.

A multi-coupon (MC ) represents a collection of k coupons that a user can redeem to a vendor in exchange for a benefit (some good or service). Recently, Chen et al. [CEL07] proposed an unforgeable privacy-protecting multi-coupon scheme (MCS ), which discourages sharing of coupons through a property called unsplittability, where the coupons of a singleMC cannot be separately used by two users. P...

This article analyzes the dynamics of the commonly used indices for Adjustable Rate Mortgages, and systematically compares the effects of their time series properties on the interest rate sensitivity of adjustable rate mortgages. Our ARM valuation methodology allows us simultaneously to capture the effects of index dynamics, discrete coupon adjustment, mortgage prepayment, and both lifetime and...