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Published By American Institute Of Mathematical Sciences

2573-0134

2022 ◽  
Vol 6 (1) ◽  
pp. 1-34
Author(s):  
Manuela Larguinho ◽  
◽  
José Carlos Dias ◽  
Carlos A. Braumann ◽  
◽  
...  

<abstract><p>This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly efficient. These novel analytical solutions allow us to extend the literature in two other directions. First, the static hedging portfolio approach is used for pricing and hedging American-style plain-vanilla zero-coupon bond options under the CIR model. Second, we derive analytically the comparative static properties of sinking-fund bonds under the same interest rate modeling setup.</p></abstract>


2021 ◽  
Vol 5 (1) ◽  
pp. 94-110
Author(s):  
Korhan Gokmenoglu ◽  
◽  
Baris Memduh Eren ◽  
Siamand Hesami ◽  

2021 ◽  
Vol 5 (3) ◽  
pp. 397-420
Author(s):  
Kim Hiang Liow ◽  
◽  
Jeongseop Song ◽  
Xiaoxia Zhou ◽  
Keyword(s):  

2021 ◽  
Vol 5 (4) ◽  
pp. 689-715
Author(s):  
Keming Li ◽  

<abstract> <p>This paper examines the effect of acquirer likelihood on future stock returns. In sharp contrast to prior findings, acquirer likelihood is a strong and negative predictor of cross-sectional future returns after controlling for target likelihood. If takeover exposure represents a risk premium, the effect on stock valuation should only present in either likelihood measure (acquirer or target likelihood). This evidence casts doubt on the rational risk explanation, but is consistent with a relative mispricing story. Investors take positions accordingly to explore profits from takeovers. Profits from trading strategy based on takeover probability are concentrated in stocks with high misvaluation characteristics, including small size, value, high momentum, high investment, and low turnover firms, as well as both high and low issuance (or accrual) firms.</p> </abstract>


2021 ◽  
Vol 5 (3) ◽  
pp. 542-570
Author(s):  
Adam Metzler ◽  
◽  
Yuhao Zhou ◽  
Chuck Grace ◽  
Keyword(s):  

2021 ◽  
Vol 5 (1) ◽  
pp. 67-93
Author(s):  
Diego Ardila ◽  
◽  
Ahmed Ahmed ◽  
Didier Sornette ◽  
◽  
...  

2021 ◽  
Vol 5 (3) ◽  
pp. 373-396
Author(s):  
Mumtaz Ahmed ◽  
◽  
Muhammad Azam ◽  
Stelios Bekiros ◽  
Syeda Mahlaqa Hina ◽  
...  

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