Prepayment risk on callable bonds: theory and test

DOI10.1007/S10203-015-0162-0zbMATH Open1398.91587OpenAlexW2085115247MaRDI QIDQ894203FDOQ894203

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

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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)

Cites Work

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

Cited In (1)

• Behavioral value adjustments

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