Similar Search Results

Filipović, Damir; Trolle, Anders B. - 2015

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a general setting that includes the cases...

Persistent link: https://www.econbiz.de/10011293604

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...

Persistent link: https://www.econbiz.de/10010338764

Liquidity risk in credit default swap markets

Junge, Benjamin; Trolle, Anders B. - 2013

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels from their no-arbitrage values implied by the index constituents' CDS spreads, and we construct a tradable...

Persistent link: https://www.econbiz.de/10010258589

How integrated are credit and equity markets? : evidence from index options

Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B. - 2020 - This version: June 24, 2020

In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the … extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich … derive analytical expressions for CDX and SPX options. Calibrating the model, we find that it captures many aspects of the …

Persistent link: https://www.econbiz.de/10012271184