You are not currently logged in.
Access JSTOR through your library or other institution:
Bond Refunding with Stochastic Interest Rates
Basil A. Kalymon
Vol. 18, No. 3, Theory Series (Nov., 1971), pp. 171-183
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/2629056
Page Count: 13
Preview not available
The bond refunding problem is formulated as a multiperiod decision process in which future interest rates are determined by a Markovian stochastic process. It is assumed that a single bond is to be outstanding at a given time. Given the future requirements for debt financing, the decision maker must decide whether to keep his current bond or to refund by issuing a new bond at the current market interest rates. Over a finite planning horizon, the structure of policies which minimize expected total discounted costs is studied.
Management Science © 1971 INFORMS