'Coupon bond' diaporamas de présentation

3.2 Black and Cox Model

3.2 Black and Cox Model. ? ? : ??? ???? : ???. 3.2 Black and Cox Model. The original Merton model does not allow for a premature default, in the sense that the default may only occur at the maturity of the claim.

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Bond Price Volatility

Bond Price Volatility. Zvi Wiener Based on Chapter 4 in Fabozzi Bond Markets, Analysis and Strategies. You Open a Bank!. You have 1,000 customers. Typical CD is for 1-3 months with $1,000. You pay 5% on these CDs. A local business needs a $1M loan for 1 yr.

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Term Structure Dynamics of Interest Rates by Exponential-Affine Models

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Lecture 14

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Interest Rates and Returns: Some Definitions and Formulas

Interest Rates and Returns: Some Definitions and Formulas. Yield to Maturity. Yield to maturity is the interest rate that equates the present value of payments received from a debt instrument with its value today. Current Yield. In some cases, yield to maturity can be difficult to calculate.

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Chapter 23 Bond Pricing

Chapter 23 Bond Pricing. Fabozzi: Investment Management Graphics by. Learning Objectives. You will learn how to calculate the price of a bond. You will understand why the price of a bond changes in the direction opposite to the change in required yield.

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Chapter 13 BOND PORTFOLIO MANAGEMENT The Passive and Active Stances

Chapter 13 BOND PORTFOLIO MANAGEMENT The Passive and Active Stances. OUTLINE Interest Rate Sensitivity Duration Convexity Passive Strategies Immunisation : A Hybrid Strategy Active Strategies Interest Rate Swaps. PASSIVE VERSUS ACTIVE STRATEGY

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Trading Strategies Involving Options

Trading Strategies Involving Options. Chapter 11. Goals of Chapter 11. Principal-protected notes ( ???? ): a bond plus options Strategies involving a single European option and a stock

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Bond Valuation

Bond Valuation. Chapter 8. outline. Terminology The Yield to Maturity and Bond Prices Corporate Bonds Further questions. Bond Terminology. Face value. Coupon rate. Maturity date. Bond Terminology. Bonds make two types of payments:

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Pricing of Bonds

Pricing of Bonds. Zvi Wiener Based on Chapter 2 in Fabozzi Bond Markets, Analysis and Strategies. Time value of money How to calculate price of a bond Why the price of a bond changes Relation between yield and price Relation between coupon and price Price changes when approaching maturity

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Portfolio Management

Portfolio Management. Grenoble Ecole de Management MSc Finance 2010. Learning Objectives. Mastering the principles of the portfolio management process: Balanced portfolio. Balanced portfolio.

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Chapter Three

Chapter Three. Interest Rates and Security Valuation. Various Interest Rate Measures. Coupon rate: interest rate on a bond used to calculate the annual cash flows the issuer promises to pay to bond holder

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Strategic Capital Group Workshop #4: Bond Valuation

Strategic Capital Group Workshop #4: Bond Valuation. Agenda. The Bond Market. Types of Bonds. Time-Value of Money. Valuing a Bond and its Cash Flows. Zero-Coupon Bonds. Bonds. Remember back to when we had the option of issuing debt or equity to finance our T-shirt company?

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Exam FM/2 Review Cash Flows, portfolios, duration, & immunization

Exam FM/2 Review Cash Flows, portfolios, duration, & immunization. Yield rates. Net Present Value method= simply compare present values Second method= Compare internal rates of return Dollar weighted: Calculate i , assuming simple interest

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FFO Options 5: The Power Of Put Call Parity

FFO Options 5: The Power Of Put Call Parity. Dr. Scott Brown Stock Options. Introduction. Call & Put prices are highly inter-dependent and are not arbitrarily chosen.

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VII . ARBITRAGE AND HEDGING WITH FIXED INCOME INSTRUMENTS AND CURRENCIES

VII . ARBITRAGE AND HEDGING WITH FIXED INCOME INSTRUMENTS AND CURRENCIES. A. Arbitrage with Riskless Bonds. Riskless bonds can be replicated with portfolios of other riskless bonds if their payments are and made on the same dates.

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Chapter 4 Understanding Interest Rates

Chapter 4 Understanding Interest Rates. The talk last Thursday was very comprehensive. I will add only a little bit content One video clip about John Howard, former Prime Minister of Australia. He promised no raise in interest rate. But interest rate was raised several times.

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Bond Values

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6.1 Question of the Day

6.1 Question of the Day. A bond with a face value of $1,000 that sells for less than $1,000 in the market is called a A par bond B discount bond C premium bond D zero coupon bond E floating rate bond. Weights for first Exam.

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