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Relevant bibliographies by topics / Fixed-income securities – Valuation

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Academic literature on the topic 'Fixed-income securities – Valuation'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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Journal articles on the topic "Fixed-income securities – Valuation"

1

Warga, Arthur D., and Frank Fabozzi. "Valuation of Fixed Income Securities." Journal of Finance 50, no. 2 (1995): 761. http://dx.doi.org/10.2307/2329432.

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Ivanović, Saša. "MANAGEMENT OF COMMON STOCKS." Tourism and hospitality management 9, no. 1 (2003): 207–19. http://dx.doi.org/10.20867/thm.9.1.19.

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Common stocks are easier to describe than fixed-income securities such as bonds, but they are harder to analyse. Fixed-income securities almost always have a limited life and an upper kune limit on cash payments to investors. Common stocks have neither. Although the basic principles of valuation apply to both, the role of uncertainty is larger for common stocks, so much so that it often dominates all other elements in their valuation.

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Mattos, Marcos Costa, and Celso Funcia Lemme. "Integração de questões socioambientais na avaliação de títulos de renda fixa corporativos." Revista de Administração da UFSM 13, no. 2 (2020): 260–76. http://dx.doi.org/10.5902/1983465928109.

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This study presents a diagnosis of the current practices and a proposal of a roadmap for integrating social environmental variables in corporate fixed income securities valuation. The roadmap does not make a distinction between the different forms that the securities can take on and was developed by identifying the best integration practices adopted by market players. The sample was formed by 67 agents from the corporate fixed income securities market obtained by criteria of engagement in sustainable finance and relevance in the fixed income securities market. The diagnosis indicated a weak co

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Guo, Jiequn. "Fair Value Adjusted Pricing of Mutual Funds Using Treasury Futures." Journal of International Commerce, Economics and Policy 09, no. 01n02 (2018): 1850006. http://dx.doi.org/10.1142/s1793993318500060.

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The U.S. Investment Company Act of 1940 requires mutual fund boards to determine fair value of their portfolios. With mutual fund investments on foreign securities, there is a potential market timing issue when markets evolve between foreign and domestic market close. However, there is little research to date relating to fair value pricing procedures for foreign fixed-income securities. In this paper, we discuss the market timing problems and present a statistical approach utilizing treasury futures to fair value pricing of foreign fixed income securities. Timely valuation adjustment of foreig

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Longstaff, Francis A., and Brett W. Myers. "How Does the Market Value Toxic Assets?" Journal of Financial and Quantitative Analysis 49, no. 2 (2014): 297–319. http://dx.doi.org/10.1017/s0022109014000222.

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AbstractHow does the market value “toxic” structured-credit securities? We study the valuation of what is possibly the most toxic of all toxic assets: the equity tranche of a collateralized debt obligation (CDO). In theory, CDO equity should be similar in nature to bank stock since both represent residual claims on a portfolio of loans. We find CDO equity returns are much more related to stock returns than to fixed-income returns. CDO equity returns track the returns of financial stocks much more closely than any other industry. Nearly two-thirds of the variation in CDO returns can be explaine

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Tahani, Nabil, and Xiaofei Li. "Pricing interest rate derivatives under stochastic volatility." Managerial Finance 37, no. 1 (2011): 72–91. http://dx.doi.org/10.1108/03074351111092157.

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PurposeThe purpose of this paper is to derive semi‐closed‐form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine‐term structure models.Design/methodology/approachThe paper first derives the Frobenius series solution to the cross‐moment generating function, and then inverts the related characteristic function using the Gauss‐Laguerre quadrature rule for the corresponding cumulative probabilities.FindingsThis paper values options on discount bonds, coupon bond options, swaptions, interest rate caps, floors, and collars, etc. The valuation appro

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Oosthuizen, Annien, and J. H. Van Rooyen. "Risk-free assets: Are they truly risk-free? A comparative study of South African rates and instruments." Risk Governance and Control: Financial Markets and Institutions 3, no. 3 (2013): 127–48. http://dx.doi.org/10.22495/rgcv3i3c1art5.

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Determining the price of a financial instrument is something that happens every day in the financial markets. Every price starts off with a spot price adjusted for interest until maturity of the particular instrument. The interest is usually described as risk-free interest. The price so determined is the most basic price that an investor is willing to pay if not risk is involved. Risk-free assets, then, are securities of which the future rates of return are known with certainty. An exceptional degree of confidence in the issuer of the security brings about this certainty. Risk-free assets are

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Hespeler, Frank, and Felix Suntheim. "The Behavior of Fixed-income Funds during COVID-19 Market Turmoil." Analytical Notes 20, no. 02 (2020). http://dx.doi.org/10.5089/9781513563695.064.

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This note analyzes the stress experienced (and caused) by open-end mutual funds during the March COVID-19 stress episode, with a focus on global fixed-income funds. In light of increased valuation uncertainty, funds experienced a short period of intense withdrawals while the market liquidity of their holdings deteriorated substantially. To cover redemptions, afflicted funds predominantly shed liquid assets first—for example, cash, cash equivalents, and US Treasury securities. But forced asset sales amplified price pressures in markets and contributed to liquidity falling across fixed-income ma

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"A Reseach on Fundamental Access of Selected Automobile Companies in India." International Journal of Innovative Technology and Exploring Engineering 8, no. 11S (2019): 729–36. http://dx.doi.org/10.35940/ijitee.k1126.09811s19.

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Today, the most important strength of volatile financial market is information. Fixed income securities are for more risk-averse investors where as young people are more interested in equity shares as they like to take more risk in lieu of more return. Prices of these securities move according to the information available in the financial market. Investors are always confused regarding Where to invest, When to invest and How much to invest. Fundamental analysis is a method which helps an investor in knowing “What the price should be” or “What is the real value of a share”. It is based on the f

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Dissertations / Theses on the topic "Fixed-income securities – Valuation"

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Karoui, Lotfi. "Three essays on fixed income markets." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103203.

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This thesis comprises three essays that explore several theoretical and empirical features of affine term structure models. In the first essay, we focus on the ability of continuous-time affine term structure models to capture time variability in the second conditional moment. Using data on US Treasury yields, we conclude that affine term structure models are much better at extracting time-series volatility from the cross-section of yields than argued in the literature. These models have nonetheless difficulty capturing volatility dynamics at the short end of the maturity spectrum, perhaps ind

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Li, Xiaofei 1972. "Three essays on the pricing of fixed income securities with credit risk." Thesis, McGill University, 2004. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84523.

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This thesis studies the impacts of credit risk, or the risk of default, on the pricing of fixed income securities. It consists of three essays. The first essay extends the classical corporate debt pricing model in Merton (1974) to incorporate stochastic volatility (SV) in the underlying firm asset value and derive a closed-form solution for the price of corporate bond. Simulation results show that the SV specification for firm asset value greatly increases the resulting credit spread levels. Therefore, the SV model addresses one major deficiency of the Merton-type models: namely, at sho

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"Valuation of option embedded fixed income securities." 1998. http://library.cuhk.edu.hk/record=b5889417.

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by Matthew Bailey Greenberg, Ng Hin Wah.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 61-62).<br>ABSTRACT --- p.ii<br>TABLE OF CONTENTS --- p.iv<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II. --- CONVERTIBLE BONDS AND WARRANTS --- p.3<br>ConvertIBle Bonds --- p.3<br>Value At Maturity --- p.5<br>Value Before Maturity --- p.6<br>Warrants --- p.8<br>The Difference Between Convertible Bonds and Warrants --- p.11<br>Considerations of Issuing Convertibles and Bond with Warrants --- p.13<br>Valuation of

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Books on the topic "Fixed-income securities – Valuation"

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Valuation of fixed income securities and derivatives. 3rd ed. Frank J. Fabozzi Associates, 1998.

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Jegadeesh, Narasimhan. Advanced fixed-income valuation tools. Wiley, 2000.

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3

Fixed income securities: Valuation, risk, and risk management. Wiley, 2010.

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Valuation and risk management of interest rate derivative securities. Verlag Paul Haupt, 1992.

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5

Choudhry, Moorad. Fixed-income securities and derivatives handbook: [analysis and valuation]. 2nd ed. Bloomberg Press, 2010.

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6

Advanced fixed income analysis. Elsevier Butterworth-Heinemann, 2004.

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Wise, Mark B. Fixed income finance: A quantitative approach. McGraw-Hill, 2010.

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M, Soto Gloria, and Beliaeva Natalia A. 1975-, eds. Interest rate risk modeling: The fixed income valuation course. J. Wiley, 2005.

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V, Mann Steven, ed. Introduction to fixed income analytics: Relative value analysis, risk measures, and valuation. 2nd ed. Wiley, 2010.

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10

Neysmith, Brian, and Mary Rabiasz. CBRS's guide to conservative fixed-income investing. Canadian Bond Rating Service, 1995.

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Book chapters on the topic "Fixed-income securities – Valuation"

1

Glabadanidis, Paskalis. "Fixed Income Securities." In Absence of Arbitrage Valuation. Palgrave Macmillan US, 2014. http://dx.doi.org/10.1057/9781137372871_6.

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Brigo, Damiano, Qing Liu, Andrea Pallavicini, and David Sloth. "Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach." In Handbook of Fixed-Income Securities. John Wiley & Sons, Inc, 2016. http://dx.doi.org/10.1002/9781118709207.ch21.

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"Chapter 11. The Valuation of Interest Rate Options." In Fixed Income Securities. De Gruyter, 2019. http://dx.doi.org/10.1515/9781547400669-011.

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"Forwards and Futures Valuation." In Fixed Income Securities and Derivatives Handbook. John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118531976.ch6.

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5

"The Valuation of Fixed-Income Securities." In Investing in Mortgage-Backed and Asset-Backed Securities. John Wiley & Sons, Inc, 2016. http://dx.doi.org/10.1002/9781118949108.ch4.

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"Valuation of Mortgage-Backed and Asset-Backed Securities." In Introduction to Fixed Income Analytics. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266649.ch9.

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Jarrow, Robert A. "Contingent Claims Valuation – Theory." In Modeling Fixed Income Securities and Interest Rate Options. Chapman and Hall/CRC, 2019. http://dx.doi.org/10.1201/9780429432842-10.

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Chakravarty, Satya R., and Palash Sarkar. "Valuation of Cash Flows and Fixed Income Securities: An Abridged Analysis." In An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain. Emerald Publishing Limited, 2020. http://dx.doi.org/10.1108/978-1-78973-893-320201002.

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Dyer, Matthew. "Valuing and Analyzing Mortgage-Backed and Asset-Backed Securities." In Debt Markets and Investments. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780190877439.003.0026.

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This chapter discusses how to value and analyze asset-backed securities (ABSs) with an emphasis on mortgage-backed securities (MBSs). Valuation differs fundamentally from traditional fixed-income securities due to the risks presented by fluctuations in the securities’ monthly cash flows derived from unscheduled principal repayments. For an MBS, prepayments, which are largely a function of interest rates, housing turnover, refinancing sensitivity, burnout, and a host of borrower inefficiencies, can cause drastic fluctuations in the security’s theoretical or intrinsic value. Once an estimate of forecasted prepayment rates and default rates, if applicable, has been calculated, monthly cash flows are determined and discounted at the appropriate discount rate. Spread measures such as the zero-volatility spread (Z-spread) and the option-adjusted spread can be used to approximate the necessary discount rates applicable to monthly cash flows, the latter of which can be calculated via the Monte Carlo simulation method.

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Barnes, Christopher J., Gaurav Gupta, and Joseph F. Abinanti. "Bonds with Embedded Options." In Debt Markets and Investments. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780190877439.003.0016.

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Bonds with embedded options are a subset of traditional fixed income instruments in which an option has the potential to influence the timing and amount of a security’s cash flows and the security’s valuation. The term embedded signifies that the option and the bond are inseparable. Unlike a warrant, which typically can be detached and traded independently of its underlying instrument, an embedded option cannot be split from the bond to create two distinct, investable assets—the bond and the option. The inseparability of the bond and option changes the risk-return profile for both issuers and investors alike, and therefore renders traditional bond metrics, such as yield-to-maturity, ineffective. This chapter explores the most common bonds with embedded options, which are callable, puttable, and convertible bonds, in addition to discussing some nontraditional embedded option bond structures including contingent convertibles, extendable bonds, combinations, and knock-in and knock-out options.

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