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On the Computation of a Formula for the Duration of a Bond that Yields Precise Results

Osborne, Michael - 2004

In fixed income analysis it is known that the various measures of interest rate sensitivity (duration) yield approximate results. Even with the addition of concepts like convexity, the results remain approximations. This paper summarizes a new approach based on the fact that the time value of...

Persistent link: https://www.econbiz.de/10012785499

A Real Accurate Formula for the Yield Elasticity of Bond Price

Osborne, Michael - 2012

This article derives a new formula for the yield elasticity of bond price. The formula provides accurate results without resorting to complex mathematics, and gives new meaning to the concept of duration in fixed-income analysis

Persistent link: https://www.econbiz.de/10013102575

A Stochastic Model for Credit Spreads Under a Risk-Neutral Framework Through the Use of an Extended Version of the Jarrow, Lando and Turnbull Model

Dubrana, Ludovic - 2014

The model derives risky corporate bond prices (or equivalently credit spreads) subject to credit default and migration risk, based on an extended version of the Jarrow, Lando and Turnbull model, under a risk-neutral framework, as a result of the simulation of a continuous time, time-homogeneous...

Persistent link: https://www.econbiz.de/10013067094

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 … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …

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

The Risk Parity Principle Applied on a Corporate Bond Index Using Duration Times Spread

Stagnol, Lauren - 2016

In this paper, we apply the principle of Equal Risk Contribution (ERC) to a corporate bond index, an asset class so far left behind in this literature. Specifically, we rely on the Duration Times Spread (DTS) and demonstrate that it is a coherent metric for bond risk. We construct indexes based...

Persistent link: https://www.econbiz.de/10012983532

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

Persistent link: https://www.econbiz.de/10011346478

Looking Forward to Backward-Looking Rates : A Modeling Framework for Term Rates Replacing LIBOR

Lyashenko, Andrei - 2020

In this paper, we define and model forward risk-free term rates, which appear in the payoff definition of derivatives, and possibly cash instruments, based on the new interest-rate benchmarks that will be replacing IBORs globally. We show that the classical interest rate modeling framework can...

Persistent link: https://www.econbiz.de/10012850220

Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks

Macrina, Andrea - 2020

Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and 'replaced' by what ISDA calls an adjusted risk-free rate (RFR). ISDA has recently announced that the LIBOR 'replacement' will most likely be constructed...

Persistent link: https://www.econbiz.de/10012843549

Implied Volatilities for Options on Backward-Looking Term Rates

Hofmann, Karl F. - 2020

We derive valuation formulas for caps and floors on backward-looking term rates in the Black-1976, Bachelier and Hull-White-1-Factor models explicitly regarding valuation in the fixing period, extending and detailing results of [Lyashenko & Mercurio 2019, Henrard 2019, Turfus 2020]. These...

Persistent link: https://www.econbiz.de/10012834974

The Markov-Switching Jump Diffusion Libor Market Model

Borchert, Lea - 2018

-switching Heath-Jarrow-Morton (HJM) model and prove that the considered market is arbitrage-free. We derive pricing formulas for caps …

Persistent link: https://www.econbiz.de/10012938239

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