created a large mispricing between the market for German and Italian government bonds and their respective futures contracts … scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds …

created a large mispricing between the market for German and Italian government bonds and their respective futures contracts … scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds …

for fast and efficient interest rate derivative pricing. Our methodology incorporates this method. The results obtained in …

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized … basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model … is computed by sampling the FFF rate discretely. The valuation of longer-term FFF variance futures is subject to an …

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … EUR swap yields of different maturity tenors, after controlling for various macroeconomic and financial variables, such as … in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …

This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short …-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after … dynamics of EUR swap yields. The estimated econometric models of EUR swap yields of different maturity tenors imply that the …

The effect of European Central Bank monetary policy upon EONIA swap spreads is investigated with GARCH-Jump models. I … with the spread in EONIA swaps. At the same time, monetary policy has a positive relationship with volatility in spreads … between main refinancing operations increase the likelihood of jumps in the swap term structure and in the size of the jumps …