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WP 2015-16: Structured bonds valuation

WP 2015-16
TitleStructured bonds valuation
Original titleValorización de bonos estructurados
Author(s) Omar Pinedo
Language Spanish
Date 2015/12/31
Abstract

A method to price structured bonds is proposed. It includes two key elements: (1) construction of zero coupon curves to discount cash flows and (2) simulation of cash flows for the underlying option. For (1) the study uses the penalized B-Spline method and for (2) it uses a Quasi-Monte Carlo based on a generalized Halton sequence.

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