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Individual investors and suboptimal early exercises in the fixed-income market

Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014

This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...

Persistent link: https://www.econbiz.de/10010412103

Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading

Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23

. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …

Persistent link: https://www.econbiz.de/10012695328

Investing in US Core Fixed Income with Macro and Style Factors

Pauksta, Eugene; Kaul, Karishma; Parker, Tom; Radell, Scott - 2021

We harvest factors—broad and persistent sources of returns—in US core fixed income in three ways. First, we take strategic over and underweight positions in certain macro factors. While strategic overweights to rates, or duration, and credit factors have historically resulted in...

Persistent link: https://www.econbiz.de/10013323791

Managing Longevity Risk : The Case for Longevity-Indexed Variable Expiration Bonds

Muralidhar, Arun - 2020

There is an annuity puzzle in that the actual allocation by individuals to annuities is low. Longevity bonds, to hedge overall economy-wide mortality risk, have been proposed, but these bonds have challenges and the proponents have not shown how governments are hedged. This paper recommends that...

Persistent link: https://www.econbiz.de/10012843566

Continuous-Time Evolutionary Stock and Bond Markets with Time-Dependent Strategies

Yang, Zhaojun; Shi, Feng - 2012

diversified strategy in the market, then there is no sudden bankruptcy. After that a deterministic evolutionary bond market is … studied in detail. It is certified that a bond market is evolutionary stable, which is equal to arbitrage-free if and only if … the total returns defined in this paper across all the assets are the same, or each bond is evaluated by an improper …

Persistent link: https://www.econbiz.de/10014220854

FRE-GY6711 : Quantitative Portfolio Management Module 3 - Fixed Income (Presentation Slides)

Philips, Thomas K. - 2017

Persistent link: https://www.econbiz.de/10012951803

Explicit Solutions to Optimal Risk-Averse Trading of Defaultable Bonds Under Heterogeneous Beliefs

Leung, Tim - 2015

, which naturally widens as risk aversion or trading volume increases. In addition, we analyze the defaultable bond buyer …

Persistent link: https://www.econbiz.de/10013038507

Portfolio Diversification Effects of Catastrophe Bonds

Clark, Steven P. - 2016

This paper demonstrates that catastrophe (cat) bonds provide substantial benefits of diversification when added to an investor's opportunity set already consisting of securities from traditional asset classes. We find that cat bonds significantly reduce drawdown measures and tail risk under...

Persistent link: https://www.econbiz.de/10012987284

Hedging with Portfolio of Bonds and Swaps Under the G2 Model

JAFFAL, hanan - 2016

The two-additive-factor Gaussian model G2 (which encompasses the famous twofactor Hull-White model) is a stochastic model which describes the instantaneous short rate dynamic. It has functional qualities required in various practical purposes as in Asset Liability Management and in Trading of...

Persistent link: https://www.econbiz.de/10012989150

Pricing Inflation Linked Bonds and Hedging Bond Portfolios : A Comparative Analysis Applied to French OAT Indexed Bonds

da Fonseca, José S. - 2016

zero coupon bond prices: bootstrapping, a piecewise constant forward rates method, a cubic spline model, and the Nelson and … Siegel smoothing model. Next, based on the estimated real and nominal curves, several methodologies to hedge bond portfolios …

Persistent link: https://www.econbiz.de/10012990025