Option-embedded Bonds: Price Analysis, Credit Risk and Investment Strategies

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Israel Nelken
Irwin Professional Pub., 1997 - Business & Economics - 305 pages
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Interest rate volatility has spawned a huge increase in the issuances of option-embedded bonds. Comprising a variety of structures including: callable bonds, structured notes and convertible securities, option-embedded bonds confer benefits to both borrowers and investors. For borrowers, these products usually provide protection against interest rate risk. For investors, they typically provide higher yields than conventional bonds. Unfortunately, due to the complexity of their structures, option-embedded bonds are often difficult to value. This volume describes how to analyze and value these instruments as well as investment strategies to maximize returns.

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Contents

l
7
Risk Neutral Pricing
13
Factor Models
19
Copyright

35 other sections not shown

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About the author (1997)

Israel Nelken is Professor in the Department of Neurobiology in the Alexander Silberman Institute of Life Sciences and a member of the Edmond and Lily Safra Center for Brain Sciences at the Hebrew University of Jerusalem.

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