An Empirical Analysis of the Treasury Bond Futures Market PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Empirical Analysis of the Treasury Bond Futures Market PDF full book. Access full book title An Empirical Analysis of the Treasury Bond Futures Market by Karin Peterson LaBarge. Download full books in PDF and EPUB format.
Author: Karin Peterson LaBarge
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Karin Peterson LaBarge
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Stanford Irwin Storey
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 216
Get Book Here
Book Description
Author: Giovanni Barone-Adesi
Publisher: Springer
ISBN: 1137564865
Category : Business & Economics
Languages : en
Pages : 137
Get Book Here
Book Description
Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were developed several decades ago, and the advantages of multi-factor models are not fully recognised by many researchers and practitioners. This book provides clear and practical insight into bond portfolios and portfolio management through key empirical analysis. The authors use extensive sets of empirical data to describe the value potentially added by more recent techniques to manage interest rate risk relative to traditional techniques and to present empirical evidence of such an added value. Beginning with a description of the simplest models and moving on to the most complex, the authors offer key recommendations for the future of rate risk management.
Author: Daniel Azimov
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 108
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 802
Get Book Here
Book Description
Consists of the proceedings of seminars on futures markets held by the Chicago Board of Trade.
Author: Moorad Choudhry
Publisher: John Wiley & Sons
ISBN: 0470029463
Category : Business & Economics
Languages : en
Pages : 256
Get Book Here
Book Description
The 2nd edition of The Futures Bond Basis, is an updated and revised version of Professor Moorad Choudhry's succinct but in-depth look at the government bond futures contract basis. It includes essential background on contract specifications and the theory of the basis. It also covers the concept of the cheapest to deliver; price and delivery data for a sample of gilt contracts; the drivers of the basis and its dynamics; the mechanics of basis trading; a detailed explanation of gross and net basis, and an explanation of the implied repo rate. The book uses examples from the UK gilt market, although the basic principles are applicable in any bond futures market.
Author: Galen Burghardt
Publisher: McGraw-Hill
ISBN: 9780071456104
Category : Business & Economics
Languages : en
Pages : 320
Get Book Here
Book Description
Now in its third edition, The Treasury Bond Basis is the mandatory reference text for Treasury bond and note futures trading rooms around the world. This updated edition reflects the numerous market changes, chief among them the Chicago Board of Trade’s decision to switch from an 8 percent to a 6 percent conversion factor. Revisions include greater detail on hedging and trading, updated explanations of options valuation and short delivery options, and discussion of global bonds futures trading and applications.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451853076
Category : Business & Economics
Languages : en
Pages : 32
Get Book Here
Book Description
The paper documents institutional reforms that have taken place in the government debt markets of many industrial countries since the early 1980s, and investigates the impact of three key changes: (i) the move from relationship financing to market funding; (ii) the introduction of options; and (iii) the introduction of futures. Variance ratio tests on bond data for 14 industrial countries indicate that the move to market funding increased the volatility of bond yields and improved the informational efficiency of the secondary markets. The introduction of options and futures increased the informational efficiency of the underlying market, but did not have a stabilizing effect.
Author: David Boberski
Publisher: McGraw Hill Professional
ISBN: 0071475419
Category : Business & Economics
Languages : en
Pages : 264
Get Book Here
Book Description
"This book is a practical resource that equips financial professionals with a means of measuring the performance of Treasury and Eurodollar futures. This reference explains how to apply technology to develop empirical frameworks for solving embedded option valuation in Treasury and Eurodollar futures. David Boberski shows in detail how to build empirical models to measure risk ... the drivers of Treasury/Eurodollar spread ... and more. Filled with scores of financial tables, charts, and figures, this complete valuation tool provides definitions of the entire range of fixed income futures terms, plus in-depth guidance for applying all models and methods."--BOOK JACKET.
Author: Franklin R. Edwards
Publisher: Springer Science & Business Media
ISBN: 9400921934
Category : Business & Economics
Languages : en
Pages : 201
Get Book Here
Book Description
