produce similar estimates of bond option values. This result is established for simple option forms with known closed …

callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of … generalization facilitates the application of the model to determine what a specific bond (issued, for example, by a particular … characterize the relevant interest rate expectations. For the bond issuer, his own expectations (together with the bond's coupon …

This paper is a comparative study of the responses to the 1995 Wharton School survey of derivative usage among US non … derivative usage is most common, followed closely by interest rate derivatives, with commodity derivatives a distant third. In … choice of instruments, and the influence of their market view when taking derivative positions. These differences appear to …

perceived default risk, bond prices, and haircuts by maturity …

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

international bond issuance, the two main components of global liquidity. The sensitivity of both types of flow to US monetary …

predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

prices, bond prices, and the stock market. My results show that the Conference itself did not impact commodity prices or the … stock market. However, it had a small effect on bond prices. I do find that the events associated with the abandonment of …

Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is … bond holdings--indirectly because the global holdings dataset does not differentiate by currency denomination--and then …