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Default Risk and the Duration of Zero Coupon Bonds
10 references·14 citing·32 second hop
Default Risk and the Duration of Zero Coupon Bonds (1990)Default Risk and the Duration of Zero Cou…From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)From ‘Some Theoretical Proble…Theory of rational option pricing (2005)Theory of rational option pri…A Risk Minimizing Strategy for Portfolio Immunization (1984)A Risk Minimizing Strategy fo…Duration Forty Years Later (1978)Duration Forty Years LaterVALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…The pricing of commodity contracts (1976)The pricing of commodity cont…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Determinants of Risk Premiums on Corporate Bonds (1959)Determinants of Risk Premiums…Why do sukuks (Islamic bonds) need a different pricing model? (2020)Why do sukuks (Islamic bonds)…Quantum Field Theory for Economics and Finance (2018)Quantum Field Theory for Econ…Risky forward interest rates and swaptions: Quantum finance model and empirical results (2017)Risky forward interest rates …On the mortality/longevity risk hedging with mortality immunization (2013)On the mortality/longevity ri…Testing the Elasticity of Corporate Yield Spreads (2009)Testing the Elasticity of Cor…Credit spread determinants: An 85 year perspective (2007)Credit spread determinants: A…Bond Pricing with Default Risk (2004)Bond Pricing with Default RiskDefault- and call-adjusted duration for corporate bonds (2003)Default- and call-adjusted du…Convertible Bond Prices and Inherent Biases (2003)Convertible Bond Prices and I…Estimating and Pricing Credit Risk: An Overview (2000)Estimating and Pricing Credit…Credit spreads and interest rates: a cointegration approach (1998)Credit spreads and interest r…Duration for bonds with default risk (1997)Duration for bonds with defau…Default Risk and the Effective Duration of Bonds (1997)Default Risk and the Effectiv…Credit Risk Derivatives (1995)Credit Risk DerivativesEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Duration and the Measurement of Basis Risk (1979)Duration measures for specific term structure estimations and applications to bond portfolio immunization (1988)Designing an immunized portfolio: Is M-squared the key? (1993)An Improved Immunization Strategy: M-Absolute (1996)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Value and Capital (1939)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)An equilibrium characterization of the term structure (1977)Alternative forms of deposit insurance (1987)Chapter 13 The term structure of interest rates (1990)Dynamic Asset Allocation and Fixed Income Management (1999)New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)Implied Equity Duration: A New Measure of Equity Risk (2004)Default and the Maturity Structure in Sovereign Bonds (2012)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Measuring Corporate Bond Mortality and Performance (1989)Liquidity and Credit Risk (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’504 cited
  • 1959Determinants of Risk Premiums on Corporate Bonds460 cited
  • 1978Duration Forty Years Later184 cited
  • 1984A Risk Minimizing Strategy for Portfolio Immunization170 cited

Cited by

  • 1995Credit Risk Derivatives87 cited
  • 2000Estimating and Pricing Credit Risk: An Overview85 cited
  • 2004Bond Pricing with Default Risk69 cited
  • 2007Credit spread determinants: An 85 year perspective65 cited
  • 1998Credit spreads and interest rates: a cointegration approach52 cited
  • 2003

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Convertible Bond Prices and Inherent Biases
46 cited
  • 1997Default Risk and the Effective Duration of Bonds44 cited
  • 1997Duration for bonds with default risk35 cited
  • 2018Quantum Field Theory for Economics and Finance32 cited
  • 2003Default- and call-adjusted duration for corporate bonds31 cited
  • 2013On the mortality/longevity risk hedging with mortality immunization30 cited
  • 2020Why do sukuks (Islamic bonds) need a different pricing model?30 cited
  • 2017Risky forward interest rates and swaptions: Quantum finance model and empirical results30 cited
  • 2009Testing the Elasticity of Corporate Yield Spreads30 cited