Yield Rate on a Callable Zero-Coupon Bond

• Autorzy: Joanna Klimkowska
• Języki publikacji: EN

Abstrakty

EN

Chapter 7 is devoted to an analysis of zero-coupon bonds with the valuation principle based on arbitrage-free pricing methodology. The findings are demonstrated with an example based on a comparative study of alternative investments and it is argued that bonds with embedded options may be considered as an alternative financial instrument. (fragment of text)

Słowa kluczowe

PL

Teoria arbitrażu cenowego; Obligacje; Instrumenty finansowe

EN

Arbitrage Pricing Theory (APT); Bonds; Financial instruments

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 1 Financial markets : principles of modeling forecasting and decision-making
• Strony: 101-111

Twórcy

autor

Joanna Klimkowska

• Warsaw School of Economics, Poland

Bibliografia

• Choudhry M. (2001), Bond Market Securities, London: Financial Times Prentice Hall.
• Fabozzi F. J. (2000), Bond Markets, Analysis and Strategies, 4th ed., London: Prentice Hall International.
• Hull J. C. (2003), Options, Futures and Other Derivatives, 5th ed., Upper Saddle River: Prentice Hall.
• Jarrow R. A. (1996), Modeling Fixed-Income Securities and Interest Rate Options, New York: McGraw-Hill.