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Wrong-way risk of interest rate instruments
Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44
Persistent link: https://www.econbiz.de/10012100575
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...
Persistent link: https://www.econbiz.de/10014433708
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Essays on dual risk measures and the asymptotic term structure
Schulze, Klaas (contributor) - 2009
Persistent link: https://www.econbiz.de/10003872174
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Multi-currency (Risky) Sovereign Bonds Arbitrage
Yordanov, Vilimir - 2018
Sovereigns are active issuers both of foreign and domestic debt. The former, composed mainly of internationally traded hard currency denominated Eurobonds, serves as a direct benchmark for the creditworthiness of the country. The latter, represented by local treasuries, although considered a...
Persistent link: https://www.econbiz.de/10012938247
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Coherent price systems and uncertainty-neutral valuation
Beißner, Patrick - 2012
the existence of such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng …'s G-Brownian motions. -- mutually singular priors ; uncertain volatility ; sublinear expectation ; viability of sublinear …
Persistent link: https://www.econbiz.de/10009512789
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Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market
Xu, Ke; Chen, Yu-Lun; Yang, J. Jimmy - In: International review of financial analysis 90 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014470359
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio … Asset Pricing Model -- 23 Arbitrage Pricing Theory and Multi-Factor Models -- 24 Strategic Portfolio Allocation -- 25 …
Persistent link: https://www.econbiz.de/10013441427
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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim - 2008
Persistent link: https://www.econbiz.de/10003751650
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The term structure of interbank risk
Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733
Persistent link: https://www.econbiz.de/10010205349