Prepayment risk on callable bonds: theory and test

DOI10.1007/S10203-015-0162-0MaRDI QIDQ894203zbMATH OpenOpenAlexFDO

Authors Pascal François, Sophie Pardo

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

callable bondsasset-liability managementprepayment riskbond risk management

Mathematics Subject Classification ID

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

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Cites work

• A theory of the term structure of interest rates
• Consols In the Cir Model
• Smooth pasting as rate of return equalization

Cited in

(1)

• Behavioral value adjustments

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