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Arbitrage-free models of stocks and bonds

Durham, J. Benson - Federal Reserve Bank of New York - 2013

multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation …

Persistent link: https://www.econbiz.de/10010735679

Option-implied term structures

Vogt, Erik - Federal Reserve Bank of New York - 2014

portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the …

Persistent link: https://www.econbiz.de/10011103532

Understanding mortgage spreads

Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - Federal Reserve Bank of New York - 2014

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...

Persistent link: https://www.econbiz.de/10011027234

Trading risk and volatility in interest rate swap spreads

Kambhu, John (contributor) - 2004 - [Elektronische Ressource]

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...