In this article, we test performance persistence and volatility fluctuations of the prices of the treasury note futures contracts based on the US term structure of interest rates. The sample investigated is over the period 2010 to 2020. We test 50 Treasury note futures commodity trading...

Credit derivative swap of the Greek market is a financial instrument the value of which is derived from an underlying market value incorporating the credit risk of a bond or a loan. They are used to hedge, to speculate on the spreads through arbitrage. The premium that is incorporated in the...

In this article, we are testing the effects of an inverted Yield curve, as a result of the relationship between the short and long-term interest rates of the US Treasury with constant maturities. Our aim is to illustrate and spot cycles that created the US recession in 2008 based on Estrella and...

In this article, we are investigating the effects of macroeconomic variables logarithmic returns, namely seasonally adjusted money supply, M1), total index of industrial production, (IP) and seasonally adjusted of total consumer credit outstanding, (CCO), on the logarithmic mean monthly returns...

In this article, we analyze the effects of the spread risk in terms of basis points from changes in the market prices of callable bond future due to credit risk. Due to the fact that fixed – income securities are debt that is issued and transferred between two parties there is significant...

In this article, we analyze risk premia and time varying risk of US closed-end bond funds markets. Pessimism or optimism may drive prices far-away from their fundamental. An arbitrageur buying or selling an asset has to be cautious and limited about his investment positions. Noise traders could...

In this article, we calculate the effects of interest rate swaption at expiration with different LIBOR rates and present value factors. We compare our results with the balance of payments financial account to determine the outflow required in relation to the inflows. Our sample consists of data...

In this article, we compare the fluctuations of the price of the T - bill futures contracts and Treasury bond futures contracts in relation to the term structure of interest rates. The sample investigated is over the period 2000 to 2020. We test 50 T - bill futures contracts and 50 Treasury bond...

In this article, we analyse and compare the yield curve risk of interest rates. Our evidence is from the Swedish futures market based on 3 and 6 month Eurodollar futures contract. The shape of the yield curve can be upward, flat and downward. But what is a yield curve? It is a line that shows...

In this article, we estimate the payoff of an interest rate cap and floor on a LIBOR with different interest rates from a collar interest rate. An interest rate cap is a contract in which one party agrees to pay the other at specified period of time when the LIBOR with different interest rates...