Now showing items 1-2 of 2
Stripping Coupons with Linear Programming
(Management School and Economics. The University of Edinburgh, 2000)
When using market prices to fit the parameters of models for the price of bonds, the first step is to strip the market bonds of their coupons. The standard bootstrapping technique of stripping coupons can cause mispricing ...
A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads
(Management School and Economics. The University of Edinburgh, 1998)
This paper provides a Markov chain model for the term structure and credit risk spreads of bond processes. It allows dependency between the stochastic process modeling the interest rate and the Markov chain process describing ...