All Questions
5
questions
1
vote
0
answers
38
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Comparative statics on $c/r$ using fundamental asset pricing equation
Consider the fundamental asset pricing equation for a perpetual coupon bond:
$$rP = c + \mu P' + \sigma^2/2 P''$$
with standard boundary conditions $P(\bar x) = \bar x$ and $\underset{x\rightarrow \...
- 327
2
votes
1
answer
134
views
Definition of continuously compounded yield for perpetual defaultable coupon bond
In continuous-time asset pricing, the price of a defaultable perpetual coupon bond is given by
$$P(V) = \frac{c}{r}\left[ 1- \left(\frac{V}{V_b}\right)^{-\gamma}\right] + (1-\alpha)V_b \left(\frac{V}{...
- 327
2
votes
0
answers
150
views
Pricing kernel representation
I am reading this paper https://mpra.ub.uni-muenchen.de/4969/1/MPRA_paper_4969.pdf pp.6-7 on discrete-time bond pricing. The model adopted is a a common affine model,
the short rate follows
\begin{...
- 21
0
votes
3
answers
438
views
How to calculate a Corporate Bond Transaction Price (Bond returns?)?
I am struggling with the concepts and variables of corporate bonds returns.
Bai, Bali and Wen (2019) define monthly corporate bond returns as:
Where where is transaction price, , is accrued ...
- 1
1
vote
2
answers
1k
views
Clean vs dirty price for bonds
Why the clean price is mostly quoted in the US bond markets and the dirty price is mostly quoted in the European bond markets?
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