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Callable Bonds and Hedging
Haluk Unal / Levent Güntay / N. R. Prabhala
corporate finance / fixed incomeResource overview

Callable Bonds and Hedging

Paper

by Haluk Unal, Levent Güntay, N. R. Prabhala

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corporate financefixed incomeinterest rates

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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