About a Certain "Anomaly" in the Pricing of Debt Securities

• Autorzy: Andrzej Karpio
• Języki publikacji: EN

Abstrakty

EN

The intention of the paper is the presentation of some considerations concerned with the problem of debt securities pricing without simplifying assumptions that are commonly used in practice. In the paper the deterministic and descrete time approach is used. On financial markets coupon rates are strictly connected with interest rates described by yield curve. This relation is linear but different structures of bonds can be described by taking into account particular assumptions which refer to the coefficients in this dependence. It is shown that taking into account the dependence of coupons on forward rates leads to not standard dependence of intrinsic value on spot rates. It turns out that the intrinsic value of a bond is not a decreasing function of interest rates, what in a very fundamental way changes the investment risk that accompanies that kind of bonds.(original abstract)

Słowa kluczowe

EN

Securities; Valuation of securities; Debt securities

PL

Papiery wartościowe; Wycena papierów wartościowych; Papiery dłużne

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2019
• Tom: 20(XX)
• Numer: nr 1
• Strony: 11--19

Twórcy

autor

Andrzej Karpio

• Warsaw University of Life Sciences - SGGW, Poland

Bibliografia

• Deeba E., Dibeh G., Xie S. (2002) An Algorithm for Solving Bond Pricing Problem. Applied Mathematics and Computation, 128, 81-94.
• Karpio A. (2008) Some Aspects of Debt Securities Valuation In Discrete Time, Optimum, Studia Ekonomiczne, 3(39), 189-198.
• Karpio A. (2010) Kilka uwag dotyczących stopy zwrotu w terminie do wykupu. Metody Ilościowe w Badaniach Ekonomicznych, X, 1-10 (in Polish).
• Pooe C. A., Mahomed F., Wafo Soh M. C. (2004) Fundamental Solutions for Zero-Coupon Bond Pricing Models. Nonlinear Dynamics, 36, 69-76.
• Ritchken P., Sankarasubramanian L. (1996) Bond Price Representations and the Volatility of Spot Interest Rates. Review of Quantitative Finance and Accounting, 7, 279-288.
• Zhanga K., Liu J., Wanga E., Wanga J. (2017) Quantifying Risks with Exact Analytical Solutions of Derivative Pricing Distribution. Physica A, 471, 757-766.
• Zui-Cha D., Jian-Ning Y., Liu Y. (2010) An Inverse Problem Arisen in the Zero-Coupon Bond Pricing. Nonlinear Analysis: Real World Applications, 11(3), 1278-1288.

Identyfikatory

DOI

https://doi.org/10.22630/MIBE.2019.20.1.2