Pricing and hedging GDP-linked bonds in incomplete markets
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2018.01.001
Abstract: Abstract We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model… read more here.
Keywords: gdp linked; coupon; indexed bonds; coupon indexed ... See more keywords
Rewarding performance through sustainability‐linked bonds
Sign Up to like & getrecommendations! Published in 2024 at "Economic Affairs"
DOI: 10.1111/ecaf.12636
Abstract: Green bonds and the broad category of environmental, social, and governance (ESG) debt are market initiatives designed to tie environmental goals to the funding mechanism of the firm. Although there is an evolving certification process… read more here.
Keywords: rewarding performance; sustainability linked; linked bonds; performance sustainability ... See more keywords