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Yield to maturity modelling and a Monte Carlo Technique for pricing Derivativ...
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of... -
"Time Preference and Investment Expenditure": Comment on Hülsmann
International audience -
Stress-Test Exercises and the Pricing of Very Long-Term Bonds
In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess...
