Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2019
A closed formula for illiquid corporate bonds and an application to the European market
Roberto Baviera, Aldo Nassigh, Emanuele Nastasi
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying share…
q-fin.PR2017
Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model
Roberto Baviera
We propose an elementary model to price European physical delivery swaptions in multicurve setting with a simple exact closed formula. The proposed model is very parsimonious: it i…