. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …

rate bonds are generally seen as a portfolio of zero coupon bonds. Therefore, at each coupon payment date, the bond should … be quoted at face value and its duration should match the maturity of the replicating zero coupon bond. However, the … quoted at parity and its market risk profile could differ from that of the replicating zero coupon bond. The aim of this work …

provide evidence that instead, the corporate bond market is central to firms' access to liquidity, crowding out bank loans … even when the crisis did not originate in the banking sector. We first show that, contrary to good times, bond issuance is … "high-yield" firms, prefer issuing bonds to borrowing from their bank. Over 40% of bond issuers leave their credit line …

We present a hybrid Heston model with a local stochastic volatility to describe government bond yield dynamics. The … time series investigated. Then, the model describes convergence/divergence phenomena among European government bond yields …