Fixed Income Pricing     Financial_services > Investment banking and brokerage > Fixed Income Pricing
	Analysis of Simultaneous Tender and Call (STAC) Offers Game-theory model of callable bonds and the decision to call.
Pricing the Strategic Value of Putable Securities in Liquidity Crises Shows the analysis of Kmart's put induced crisis in 1995, and a calibration to observed secondary market yield reductions on poison put bonds reveals that strategic value is an important contributor to payouts received by bond holders. By Alexan.
Computing a Bond's Total Return One-page explanation on calculating a bond's total return provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
Time Value of Money and Valuing Bonds Lecture notes from the University of Illinois.
Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States? Working paper by Frank Smets and Kostas Tsatsaronis. Requires Acrobat Reader.
A Survey of Contingent-Claims Approaches to Risky Debt Valuation Survey of available research on the contingent-claim approach to valuation of risky debt.
Theories of the Term Structure of Interest Rates Class notes that detail common theories of the term structure of interest rates, including pure expectations theory, liquidity theory and semgented markets theory.
FICALC Fixed-income calculator designed to be used as a stand-alone tool or integrated into a web site that has fixed-income securities data.
Sources of a Bond's Return Information on computing the interest-on-interest component, yield to maturity and total return of a bond. Provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
The Term Structure of Very Short-Term Rates Presentation of evidence that confirms the validity of the expectations hypothesis of the term structure.
Term Structure Theories A slideshow introduction into various theories of the term structure of interest rates.
A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk Presentation of a model to estimate the drift and diffusion of the short rate and the market price of interest rate risk.
Bond Prices and Sensitivities Series of lecture notes by professor G. William Schwert of the University of Rochester that details duration and convexity math and applications.
Efficient Method of Moments Model of Interest Rates Presentation of a three-factor model of the term structure.
Computing Internal Rate of Return or Yield A primer on calculating internal rate of return provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
Inflation-Indexed Bonds: How Do They Work? Article by the Federal Reserve Bank of Philadelphia in Adobe Acrobat's PDF format.
Bond Valuation Bond math equations from Campbell Harvey, professor at Duke University.
The BARRA Prepayment Model: An Update Explanation of upgrades made to the BARRA mortgage prepayment model.
The Term Structure of Interest Rates Class notes on the construction of forward rates and theories of the term structure of interest rates by Professor Viswanath of Pace University.
Pricing a Fixed Rate Note Class notes by Galen Burghart on building a zero-coupon curve with Eurodollar futures to price fixed-rate notes.
Does the Term Structure Predict Recessions? Working paper by Henri Bernard and Stefan Gerlach. Requires Acrobat Reader.
Optimal Bond Investment Strategies in One-Factor Models, Analysis of one-factor models of risk-averse bond investors. Provided by KMV.
Term Structure of Interest Rates Slideshow presentation of class notes that detail the no-arbitrage condition for forward rates and explain two theories of the term structure, expectations and liquidity preference theories.
A Defence of the Expectations Theory as a Model of US Long-Term Interest Rates Working paper that examines the empirical content of the expectations theory of the term structure to study the behavior of US government yield spreads. Requires Acrobat Reader.
Japanese Reset Convertible Bonds and Other Advanced Issues in Convertible Bonds A paper on advanced issues in convertible bonds by Izzy Nelken.
Modeling the Term Structure of Interest Rates: A Review of the Literature Comprehensive, comparative description and analysis of the most common theories of the term structure of interest rates.
Price Volatility Characteristics of Option-Free Bonds Discussion of the characteristics of a bond that help determine its price volatility. Provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
Bidding Behavior in Treasury Bill Auctions - Evidence from Pakistan Working paper by Daniel C. Hardy of the Middle Eastern Department of the International Monetary Fund.
Pricing a Bond A primier on pricing bonds and the yield-price relationship provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
Forward Rates and Term Structure Hypotheses Calculation of forward interest rates and implications for hypotheses on the slope of the yield curve. Provided by lecture notes from the University of Illinois.
The Term Structure of Interest Rates as Economic Predictor A paper by Campbell Harvey of Duke University.
The Term Structure of Real Interest Rates A paper by Juha Seppala of the University of Chicago.
A Model for Valuing Bonds and Embedded Options Discussion of basic bond discounting and advanced pricing of bonds with embedded options. Presented by Andrew Kalotay, George Williams and Frank Fabozzi.
Extracting Market Expectations of Future Interest Rates from the Yield Curve Analysis of the predictive ability of implied forward rates by the Monetary Authority of Singapore.
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