Similar Search Results

Caspers, Peter - 2014

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 …

Persistent link: https://www.econbiz.de/10013050952

Sharpe-optimal volatility futures carry

Uhl, Björn - In: The journal of asset management : a major new, … 25 (2024) 3, pp. 288-302

Persistent link: https://www.econbiz.de/10014583405

Treasury option returns and models with unspanned risks

Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10014462650

Essays in financial economics

Graveline, Jeremy J. - 2006

Persistent link: https://www.econbiz.de/10003965315

Relative pricing and risk premia in equity volatility markets

Van Tassel, Peter - 2018

significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …

Persistent link: https://www.econbiz.de/10011904683

No-arbitrage pricing of GDP-linked bonds

Eguren-Martin, Fernando; Meldrum, Andrew; Yan, Wen - 2020

Persistent link: https://www.econbiz.de/10012202970

Three essays on international finance

Borisenko, Dmitrij - 2019

This thesis contributes to three major fields in the international finance literature: forward premium anomaly, monetary policy and exchange rate determination, and measuring monetary policy expectations from asset prices. In the first chapter, I develop a production-based asset pricing model...

Persistent link: https://www.econbiz.de/10011992377