Bonds, forward contracts and futures

...  , IE  S T   T   : If 1  T  and S T  are uncorrelated, 0 = F 0: CHAPTER 27. Bonds, forward contracts and futures 273 If 1  T  and S T  are positively correlated, then 0 ... market, and the zero coupon bond. Any two of them are sufficient for hedging, and the two which are most convenient can depend on the instrument being hedged. CHAPTER 27. Bonds...

Ngày tải lên: 18/10/2013, 02:20

... between the futures contract and the deposit to be hedged will influence the nu m b e r of contracts used to hedge a given exposure. 1 Strips: Arbitraging the Eurodollar Cash and Futures Markets Updated ... the Eurodollar futures will track the implied forward rates, it might be useful to derive a 3-month forward Eurodollar rate.We can then compare this rate to that of the Sep...

Ngày tải lên: 24/01/2014, 06:20

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Ngày tải lên: 15/02/2014, 13:20

... real and financial linkages of the underlying economies. Heston and Rouwenhorst (1994), Griffin and Karolyi (1998) and Brooks and del Negro (2002) argue that mainly country-specific shocks, and ... a positive correlation between stock returns and bond yields, such as Shiller and Beltratti (1992) and to some extent Barsky (1989) and Campbell and Ammer (1993) for the U...

Ngày tải lên: 16/02/2014, 02:20

... Dan Salandro and Kuldeep Shastri (1988), “On the Estimation of Bid-Ask Spreads: Theory and Evidence.” Journal of Financial and Quantitative Analysis, Vol. 23, pp 219-229. Covitz, D. and C. ... P., and Lando, D. (2009), Corporate bond liquidity before and after the onset of the subprime crisis, Working Paper, Copenhagen Business School, Institute of Finance. Feldhütter, P. a...

Ngày tải lên: 06/03/2014, 04:21

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Ngày tải lên: 06/03/2014, 21:20

... bonds) a • Sewer and water facilities • Sewer and water facilities • Sewer and water facilities • Sewer and water facilities • Sewer and water facilities and pollution control Health and hospital ... amounts and numbers of bonds, fell in the education and general purpose categories. Bonds categorized for education-related purposes accounted for over 27 percent...

Ngày tải lên: 15/03/2014, 07:20

Ngày tải lên: 22/03/2014, 18:20

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Ngày tải lên: 22/03/2014, 20:20

... and demand pressures on swaps • Relationship between breakevens and nominal yields • Historical trading patterns • Valuation of real yields and breakevens given near term inflation outlook and ... a number of factors can influence it, including liquidity and supply and demand. Breakeven Inflation: the Market’s Views on Rising Prices Understanding breakeven inflation For illustrat...

Ngày tải lên: 29/03/2014, 03:20