71st International Atlantic Economic Conference

March 16 - 19, 2011 | Athens, Greece

Deterministic Pricing of Debt Financial Instruments

Thursday, 17 March 2011: 10:40
Andrzej Karpio, Ph.D. , Econometrics and Statistics, Warsaw University of Life Sciences, Warszawa, Poland
The work concerns valuation of debt securities without many simplifying assumptions. For example, for coupon bonds we assume, that coupon periods are not equal and yield curve is not flat. In practice, on capital market, coupon rates are linear function of forward rates, so some formulae for intrinsic value of bonds are given in this case and their properties are discussed. Work contains many useful approximate expressions for yield to maturity which are generalizations of well known ones. Examples of the application obtained formulae concern bonds listed on Polish Stock Exchange.