Concept

Option-adjusted spread

Related publications (18)

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Molecular Dynamics Simulations of Interfacial Sliding in Carbon-Nanotube/Diamond Nanocomposites

William Curtin

Molecular dynamics simulations are reported for the pullout force and interfacial friction of single-and multiwall carbon nanotubes (CNT) with interwall sp(3) bonds embedded in a diamond matrix. The van der Waals interaction and sp(3) bonding are shown to ...

2009

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

Semyon Malamud

We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates. Furthermore ...

2008

Increasing user decision accuracy using suggestions

Boi Faltings, Pearl Pu Faltings, Paolo Viappiani

The internet presents people with an increasingly bewildering variety of choices. Online consumers have to rely on computerized search tools to find the most preferred option in a reasonable amount of time. Recommender systems address this problem by searc ...

Association for Computing Machinery, New York, NY 10036-5701, United States2006

A Simple Model for Credit Migration and Spread Curves

Damir Filipovic

We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgr ...

Springer Verlag2005

On the Term Structure of Default Premia in the Swap and LIBOR Markets

Pierre Collin Dufresne

Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. Although these models do not focus on the relati ...

Wiley-Blackwell2001

A General Characterization of One Factor Affine Term Structure Models

Damir Filipovic

We give a complete characterization of affine term structure models based on a general nonnegative Markov short rate process. This applies to the classical CIR model but includes as well short rate processes with jumps.We provide a link to the theory of br ...

Springer Verlag2001

Investment under uncertainty with implementation delay

Erwan Morellec, Laurent Gauthier

One of the major characteristics of the capital budgeting process is the delay existing between the investment decision and its implementation. This paper analyses investment decisions under uncertainty with implementation delay in a unified analytical fra ...

2000

A closed form formula for valuing mortgages

Pierre Collin Dufresne

We develop a closed form formula for the value of a fixed-rate residential mortgage that includes the provision that the borrower can prepay at any time with no penalty. The value of the mortgage equals the expectation, under the risk neutral probability m ...

Springer Verlag1999