Analytics of duration and convexity for bonds with embedded options: the case of convertibles
Article Abstract:
A model for assessing the effects of duration and convexity on convertible bonds is presented. Earlier studies on duration and convexity have focused on callable bonds. The greater positive convexity ofconvertible bonds makes it imperative to adopt a model that would adequately addressed the different effects of duration and convexity on pure and convertible bonds. The model shows that the more valuable the call option is, the greater the duration of a convertible bond and the less valuable the call option is, the more similar the duration and convexity between pure and convetible bonds.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
Stock index futures hedging: hedge ratio estimation, duration effects, expiration effects and hedge ratio stability
Article Abstract:
The hedging effectiveness for the Financial Times Stock Exchange 100 Stock Index futures contract from 1984 to 1992 is examined. The study performs estimations using OLD, an ECM and GARCH to evaluate the econometric estimations to be used in the estimation of minimum variance hedge ratios. Results indicate that hedge ratios and hedging effectiveness improves as hedge duration is extended, hedge ratios drift toward unity as expiration nears, and hedge ratios remain stable as they vary over time.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1996
User Contributions:
Comment about this article or add new information about this topic:
A new stochastic duration based on the Vasicek and CIR term structure theories
Article Abstract:
The Vasicek and CIR term structure theories were used for a new stochastic duration.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2000
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: A test of character. Sri Lanka - a small wonder on the radar of investment. If you build, they will come
- Abstracts: U.S. naval aircraft and weapon developments. Radars can detect the periscope. Can radar help defeat the diesel-electric sub?
- Abstracts: Students and concepts. Concepts: student work. Student work and concepts
- Abstracts: Generational accountability of public sector management: a case study of the State Authorities Superannuation Board of New South Wales
- Abstracts: Impact of diversification on agricultural cooperatives in Wisconsin. Technical trade barriers in US/Europe agricultural trade