Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Debêntures"

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    • Do options contain information about excess bond returns ? 

      Almeida, Caio Ibsen Rodrigues de
      2006-02-23
      There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of ...

    • A pricing model for sovereign bond 

      Varga, Gyorgy
      1998-07-16
      Similar to the modeling used to evaluate ccnporate boncls, where it is a put optioo. 011 corporate assets, we modeled sovereign bonds. Instead of company's assets as underlining assets, we used foreign excbange reserves. ...