Essays about: "Callable bonds"

Found 4 essays containing the words Callable bonds.

  1. 1. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Joakim Mårs; Tobias Stark; [2023]
    Keywords : ;

    Abstract : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. READ MORE

  3. 2. On Bond Provisions and M&A Activity

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Rudengren; Lucas Johnson; [2022]
    Keywords : Callable Bonds; Bond Covenants; M A; Acquisition Premium; Debt Overhang;

    Abstract : The share of bonds issued with a call provision has increased during the last 20 years. We find that companies with callable bond debt are more likely to become takeover targets. READ MORE

  4. 3. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2022]
    Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Abstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE

  5. 4. Pricing Callable Bonds

    University essay from Analys och tillämpad matematik

    Author : Jiang Xue; [2011]
    Keywords : ;

    Abstract : .... READ MORE