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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 …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …

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

The Term Structure of Redenomination Risk

Bayer, Christian - 2018

This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for French, German, and Italian bonds that can be redenominated and for bonds that cannot. Then, we extract the compensation for redenomination risk from the yield spreads between...

Persistent link: https://www.econbiz.de/10012916944

Interest Rate Risk of Corporate Bond Prices on Bombay Stock Exchange (BSE) –Empirical Test of the Duration, Modified Duration and Convexity

Maleki Nia, Nahid - 2019

that convexity is more accurate measure as approximation of bond prices changes than duration. The main goal of this study …

Persistent link: https://www.econbiz.de/10012864003

Martingale Representation of Bond Price

LE, Truc - 2018

approach to formulating the theoretical price of a zero-coupon bond without the hassle of a change of probability measure - the …

Persistent link: https://www.econbiz.de/10012916868

Chapter 11 Intertemporal asset pricing theory

Duffie, Darrell - 2003

This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is …

Persistent link: https://www.econbiz.de/10014023860

One-step bond pricing

Arnold, Tom - In: Advances in financial education : journal of the … 13 (2015) 1/2, pp. 22-25

Persistent link: https://www.econbiz.de/10011339852

Risk factors in Australian bond returns

Bianchi, Robert; Drew, Michael E.; Roca, Eduardo; … - In: Accounting and finance : journal of the Accounting … 57 (2017) 2, pp. 351-372

Persistent link: https://www.econbiz.de/10011756380

Predicting returns in US treasuries : do tents matter?

Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13

Persistent link: https://www.econbiz.de/10011957124

The time decay of bond premium and discount : an analysis of the time passage effect on bond prices

Brusa, Jorge; Gu, Jenny; Liu, Grace Yaru - In: Theoretical economics letters 4 (2014) 5, pp. 323-330

Persistent link: https://www.econbiz.de/10010422852

Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation

Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62

Persistent link: https://www.econbiz.de/10010196415