In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

We propose a valuation for the bond in which an issuer and a holder are simultaneously
granted the right to exercise a call and put options. As the term structure model of interest …

The authors have used an interest rate stochastic movement model, or the Ho-Lee model, to
evaluate interest contingent claims. Once the interest rate binomial process can be specified …

Abstract The Singapore Savings Bonds (SSB) is a unique investment program offered by the
Singapore government whereby retail investors can earn risk-free tax-free step-up interest …

Interest rate contingent claims such as swaptions, caps and floors, callable bonds, mortgage-
backed securities and many balance sheet items are subject to vega risk. Vega risk is …

Interest movement models are important to financial modeling because they can be used for
valuing any financial instruments whose values are affected by interest rate movements …

The game swaption proposed in this paper is a game version of usual interest-rate swaption.
A usual swaption provides only one of thetwo parties (fixed ratepayer and variable or …

A game swaption, newly proposed in this paper, is a game version of usual interest-rate
swaptions. It provides the both parties, fixed-rate payer and variable rate payer, with the right …

The game swaption proposed in this paper is a game version of usual interest-rate swaption.
A usual swaption provides only one of thetwo parties (fixed ratepayer and variable or …