Refunding efficiency: A generalized approach

Applied Financial Economics Letters

Volumn 3, Issue 3, 2007, Pages 141-146

  Kalotay, Andrew J ^a   Yang, Deane ^b   Fabozzi, Frank J ^c  

^a Andrew Kalotay Associates Inc   (United States)

^b POLYTECHNIC UNIVERSITY   (United States)

^c YALE SCHOOL OF MANAGEMENT   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34248577716     PISSN: 17446546     EISSN: 17446554     Source Type: Journal    
DOI: 10.1080/17446540600771076     Document Type: Article

References (7)

1. Black, F., Derman, E. and Toy, W. (1990) A one-factor model of interest rates and its application to treasury bond options, Financial Analysts Journal, 46, 33-9.
2. Black, F., Fischer and Karasinski, P. (1991) Bond and option pricing when short rates are lognormal, Financial Analysts Journal, 47, 52-9.
3. Boyce, W. M. and Kalotay, A. J. (1979) Optimum bond calling and refunding, Interfaces, 9, 36-49.
4. Finnerty, J. D. and Emery, D. R. (2001) Debt Management: A Practitioner's Guide, Harvard Business School Press, Boston, MA.
5. Howard, C. D. and Kalotay, A. J. (1988) Embedded call options and refunding efficiency, in Advances in Futures and Options Research, Vol. 3 (Ed.) F. Fabozzi, JAI Press Inc., Greenwich, CT, pp. 97-117.
6. Kalotay, A. and May, W. (1998) The timing of advance refunding of tax-exempt bonds, Municipal Finance Journal, 19, 1-15.
7. Kalotay, A., Yang, D. and Fabozzi, F. (2005) When to Refinance a Mortgage, Working paper.