In this paper, a flexible pricing model for Credit Contingent Interest Rate Swap (CCIRS) with credit rating migration is proposed, which is sensitive to stochastic interest rates and counterparty defa
This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that
OLPS is an open-source toolbox for On-Line Portfolio Selection, which includes a collection of classical and state-of-the-art on-line portofolio selection strategies implemented in Matlab/Octave. Rela