We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree yield, all in terms of numerical examples...

Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects...