volume 4, issue 2, P213-263 1998
DOI: 10.1017/s1357321700000039
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K.S. Feldman, B. Bergman, A.J.G. Cairns, G.B. Chaplin, G.D. Gwilt, P.R. Lockyer, F.B. Turley

Abstract: ABSTRACTActuarial models of the market in conventional British Government Stocks, also known as the Gilt-Edged market, are reviewed and contrasted with the methods which have been developed, during the last twenty years, by financial economists.Following the Treasury's announcement in May 1995 (regarding the taxation of institutional bond holdings), the so-called ‘coupon effect’ has largely disappeared and gilt prices can now be fitted very closely by using the same simple discounting functions for both income…

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