Prepayment risk on callable bonds: theory and test

DOI10.1007/S10203-015-0162-0zbMath1398.91587OpenAlexW2085115247MaRDI QIDQ894203

Sophie Pardo, Pascal François

Publication date: 27 November 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-015-0162-0

zbMATH Keywords

asset-liability managementcallable bondsprepayment riskbond risk management

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Smooth pasting as rate of return equalization
• A Theory of the Term Structure of Interest Rates
• Consols In the Cir Model

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