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Paper / 1993SMQ / 228628090686078
Optimal Call Policy for Corporate Bonds
Longstaff, Francis A. / Tuckman, Bruce
corporate finance / fixed incomeResource overview

Optimal Call Policy for Corporate Bonds

Paper1993

by Longstaff, Francis A., Tuckman, Bruce

Tags
corporate financefixed incomeoptimization

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Suggested foundations for rates and fixed income and optimisation and numerical methods. Specialist prerequisites vary by paper.

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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

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  3. Vectors, Matrices and Linear Systems

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  4. Constrained and Convex Optimisation

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  1. Bootstrapping the Spot Curve from Market Instruments

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

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  3. Calibration as an Inverse Problem

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