One can value a bond by discounting each of its cash flows at its own zero-coupon (" spot')
rate. This procedure is equivalent to discounting the cash flows at a series of one-…

We introduce a new approach for modeling the prepayments of a mortgage pool and show
how it can be used to value mortgage pools and agency mortgage-backed securities. We …

A NUMBER OF INVESTIGATORS have considered reasons why various options are
included when bonds are issued. Most attention centers on the almost invariable inclusion in …

Long-term corporate bonds have traditionally been issued with a call option, whereby the
issuing company reserves the right to call the bond, that is, to redeem or buy back the bond …

Tax-loss harvesting is an idea that has been around for decades. This article tries to quantify
the value of this tax option embedded in municipal bonds. The authors first develop an …

Although the authors of this article praise the spirit of the new FASB guidelines for hedge
accounting, they find flaws in the recommended tests for determining if a hedge qualifies for …

We propose a relatively simple, accurate and flexible approach to forecasting the distribution
of defaulted debt recovery outcomes. Our approach is based on mixtures of Gaussian …

Yield curves are fundamental to the understanding of bond values. In the taxable market,
the standard benchmark is the Treasury curve, which indicates the levels at which the US …

We explore the effect of taxes on the prices of municipal bonds. Although interest is tax-exempt,
the gain resulting from purchasing a muni at a deep discount below the so-called de …

It is well recognized that institutional municipal portfolio managers prefer premium bonds to
those selling near par. We show that such aversion to par bonds is justified, because they …