Callable Bonds and Hedging

2002 ◽  
Author(s):  
Levent Guntay ◽  
Nagpurnanand R. Prabhala ◽  
Haluk Unal
Keyword(s):  
Callable Bonds

The Curious Case of the Treasury’s Callable Bonds of August 1988–93

1993 ◽  
Vol 49 (2) ◽  
pp. 78-82
Author(s):  
Alan J. Daskin ◽  
Vivek Kulkarni
Keyword(s):  
Callable Bonds

scholarly journals The Choice Among Non-Callable and Callable Bonds

2013 ◽  
Author(s):  
Laurence David Booth ◽  
Dimitrios Gounopoulos ◽  
Frank S. Skinner
Keyword(s):  
Callable Bonds

Valuing and Analyzing Bonds with Embedded Options

2019 ◽  
pp. 453-476
Author(s):  
Yiying Cheng
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Convertible Bond ◽  
Callable Bonds ◽  
Bond Valuation ◽  
Specific Risk ◽  
Interest Rate Model ◽  
Embedded Options ◽  
The Difference ◽  
Bond Risk

This chapter introduces the analysis and valuation of bonds with embedded options. For callable bonds, it discusses their unique reinvestment risk and negative convexity. For both callable bonds and puttable bonds, the chapter introduces two additional measures to gauge their risk: yield-to-call and yield-to-put, respectively. The chapter reviews the application of the spot rate curve in bond valuation and introduces the Z-spread to measure bond-specific risk more accurately. To model interest rate risk, the chapter builds a binomial interest rate model and calibrates it with on-the-run Treasury issues. The option-adjusted-spread (OAS) is introduced to measure the bond-specific risk excluding the option effect. The difference between Z-spread and OAS represents the option effect. Common measures of convertible bond risk and value are discussed including the possibility of valuating a convertible bond using option-pricing models and its drawbacks.

PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION

1996 ◽  
Vol 6 (1) ◽  
pp. 53-88 ◽  
Author(s):  
Hans-Jürg Büttler ◽  
Jorg Waldvogel
Keyword(s):  
Green’S Function ◽  
Green's Function ◽  
Callable Bonds

Callable Bonds Revisited

2010 ◽  
Vol 39 (2) ◽  
pp. 613-641 ◽  
Author(s):  
John C. Banko ◽  
Lei Zhou
Keyword(s):  
Callable Bonds
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