THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH

2002 ◽  
Vol 05 (07) ◽  
pp. 695-700 ◽  
Author(s):  
MANFRED FRÜHWIRTH
Keyword(s):  
Closed Form ◽  
Continuous Time ◽  
Closed Form Solutions ◽  
State Variable ◽  
Duration Measure ◽  
Convexity Measure

This paper extends the traditional duration measure for continuous-time Heath–Jarrow–Morton models. The result is a general Heath–Jarrow–Morton duration measure based on a zero-coupon yield for an arbitrary maturity as state variable. A convexity measure compatible to this generalized duration is derived. In addition, closed-form solutions are presented for two popular example models.

Stochastic continuous time growth models that allow for closed form solutions

2017 ◽  
Vol 124 (3) ◽  
pp. 213-241 ◽  
Author(s):  
Francesco Menoncin ◽  
Stefano Nembrini
Keyword(s):  
Closed Form ◽  
Continuous Time ◽  
Growth Models ◽  
Closed Form Solutions

scholarly journals Creditor Coordination, Liquidation Timing, and Debt Valuation

2011 ◽  
Vol 46 (5) ◽  
pp. 1407-1436 ◽  
Author(s):  
Max Bruche
Keyword(s):  
Capital Structure ◽  
Closed Form ◽  
Continuous Time ◽  
Structural Model ◽  
Coordination Failures ◽  
Closed Form Solutions ◽  
Optimal Capital Structure ◽  
Optimal Capital ◽  
Debt Valuation ◽  
Creditor Coordination

AbstractThis paper derives closed-form solutions for values of debt and equity in a continuous-time structural model in which the demands of creditors to be repaid cause a firm to be put into bankruptcy. This allows discussion of the effect of creditor coordination in recovering money on the values of debt, equity, and the firm, as well as on optimal capital structure. The effects of features of bankruptcy codes that prevent coordination failures between creditors, such as automatic stays and preference law, are also considered. The model suggests that such features, while preventing coordination failures, can decrease welfare.

Closed Form Solutions of Joint Water-Filling for Coordinated Transmission

2010 ◽  
Vol E93-B (12) ◽  
pp. 3461-3468 ◽  
Author(s):  
Bing LUO ◽  
Qimei CUI ◽  
Hui WANG ◽  
Xiaofeng TAO ◽  
Ping ZHANG
Keyword(s):  
Closed Form ◽  
Closed Form Solutions ◽  
Water Filling
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