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DYNAMIC MODELS OF BOND REFUNDING *
Author(s) -
Dyckman Thomas R.,
Thomas L. Joseph,
Magee Robert P.
Publication year - 1975
Publication title -
decision sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.238
H-Index - 108
eISSN - 1540-5915
pISSN - 0011-7315
DOI - 10.1111/j.1540-5915.1975.tb01048.x
Subject(s) - bond , computation , dynamic programming , computer science , interest rate , mathematical optimization , debt , economics , mathematical economics , econometrics , finance , mathematics , algorithm
Dynamic programming models of bond refunding have been given by Weingartner [14], Kalymon [8] and Elton and Gruber [4]. This paper gives a formulation of this problem that lends itself to extensions including the term structure of interest rates, delayed‐call provisions, and “rolling over” the outstanding debt. Finally, the cost of computation is examined, along with some examples.