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Multi Factor And Analytical Valuation Of Treasury Bond Futures With An Embedded Quality Option
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Book Synopsis Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option by : Luís Oliveira
Download or read book Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option written by Luís Oliveira and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A closed-form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multi-factor and Gaussian Heath, Jarrow, and Morton (1992) framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of Curran (1994) and Rogers and Shi (1995), or via a rank 1 approximation, following Brace and Musiela (1994). Monte Carlo simulations show that both approximations are accurate and easy to calculate. Application of the proposed pricing model to the EUREX market (from May 1999 through September 2001) yields a remarkable fit and an insignificant estimate of the quality option magnitude. On average, this delivery option accounts for only 0.05% of the futures prices.
Book Synopsis Valuing Bond Futures and the Quality Option by : Peter Carr
Download or read book Valuing Bond Futures and the Quality Option written by Peter Carr and published by . This book was released on 1988 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modern Multi-Factor Analysis of Bond Portfolios by : Giovanni Barone-Adesi
Download or read book Modern Multi-Factor Analysis of Bond Portfolios written by Giovanni Barone-Adesi and published by Springer. This book was released on 2015-12-03 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Advances in Fixed Income Valuation Modeling and Risk Management by : Frank J. Fabozzi, CFA
Download or read book Advances in Fixed Income Valuation Modeling and Risk Management written by Frank J. Fabozzi, CFA and published by John Wiley & Sons. This book was released on 1997-01-15 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.
Book Synopsis Pricing the CBOT T-Bonds Futures by : Ramzi Ben-Abdallah
Download or read book Pricing the CBOT T-Bonds Futures written by Ramzi Ben-Abdallah and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to investigate the theoretical and empirical pricing of the Chicago Board of Trade (CBOT) Treasury-bond futures. The difficulty to price it arises from its multiple interdependent embedded delivery options, which can be exercised at various times and dates during the delivery month. We consider a continuous-time model with a continuous underlying factor (the interest rate), moving according to a Markov diffusion process consistent with the no-arbitrage principle. We propose a numerical pricing model that can handle all the delivery rules embedded in the CBOT T-bond futures, interpreted here as an American-style interest-rate derivative. Our pricing procedure combines dynamic programming, finite-elements approximation, analytical integration and fixed-point evaluation. Numerical illustrations, provided under the Vasicek (1977) and Cox-Ingesoll-Ross (1985) models, show that the interaction between the quality and timing options in a stochastic environment makes the delivery strategies complex, and not easy to characterize. We also carry out an empirical investigation of the market in order to verify whether short traders in futures contracts are exercising the strategic delivery options skillfully and optimally or if they are under-utilizing them. To do so, we price the futures contract under the Hull-White (1990) model. Empirical results show that futures prices are generally undervalued, which means that the market overvalues the embedded delivery options. According to our findings, observed futures prices are on average 2% lower than theoretical futures prices over the 1990-2008 time period, priced two months prior to the first day of delivery months.
Book Synopsis An Empirical Analysis of the Treasury Bond Futures Market by : Karin Peterson LaBarge
Download or read book An Empirical Analysis of the Treasury Bond Futures Market written by Karin Peterson LaBarge and published by . This book was released on 1986 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Pricing of Treasury Bond Futures by : Simon Benninga
Download or read book The Pricing of Treasury Bond Futures written by Simon Benninga and published by . This book was released on 1984 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation of the Quality and the Switching Options and Their Impact on Treasury Bond Futures Prices by : Theodore M. Barnhill
Download or read book Valuation of the Quality and the Switching Options and Their Impact on Treasury Bond Futures Prices written by Theodore M. Barnhill and published by . This book was released on 1987 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Method of Valuing the Treasury Bond Futures Contract by : Hugh Cohen
Download or read book A Method of Valuing the Treasury Bond Futures Contract written by Hugh Cohen and published by . This book was released on 1990 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quality Options and Hedging in Japanese Government Bond Futures Markets by : Shang-Wu Yu
Download or read book Quality Options and Hedging in Japanese Government Bond Futures Markets written by Shang-Wu Yu and published by . This book was released on 1994 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Quality Delivery Option in Treasury Bond Futures Contracts by : Michael Lee Hemler
Download or read book The Quality Delivery Option in Treasury Bond Futures Contracts written by Michael Lee Hemler and published by . This book was released on 1988 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Valuation of Options on Treasury Bond Futures by : Carla J. Ponn
Download or read book The Valuation of Options on Treasury Bond Futures written by Carla J. Ponn and published by . This book was released on 1985 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuing Fixed Income Futures by : David Boberski
Download or read book Valuing Fixed Income Futures written by David Boberski and published by McGraw Hill Professional. This book was released on 2007 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.
Book Synopsis The Valuation of Options of Treasury Bond Futures Contracts by : Wan-Sun Han
Download or read book The Valuation of Options of Treasury Bond Futures Contracts written by Wan-Sun Han and published by . This book was released on 1987 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advanced Fixed-Income Valuation Tools by : Narasimhan Jegadeesh
Download or read book Advanced Fixed-Income Valuation Tools written by Narasimhan Jegadeesh and published by John Wiley & Sons. This book was released on 1999-12-28 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds.
Book Synopsis Perspectives on Selection of the Optimal Cash Bond for Arbitraging Against the Treasury Bond Futures Contract by : Theodore M. Barnhill
Download or read book Perspectives on Selection of the Optimal Cash Bond for Arbitraging Against the Treasury Bond Futures Contract written by Theodore M. Barnhill and published by . This book was released on 1986 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fixed-Income Analysis for the Global Financial Market by : Giorgio S. Questa
Download or read book Fixed-Income Analysis for the Global Financial Market written by Giorgio S. Questa and published by John Wiley & Sons. This book was released on 1999-07-22 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: Anwendungsbereite Kenntnisse moderner festverzinslicher Anlageformen erlernen Sie mit diesem Handbuch von Grund auf. Preisgestaltung und Risikoanalysen werden auch dem Leser mit geringen mathematischen Vorkenntnissen schlussig erklart. Instrumente des Geldmarktes, langfristige Anlagen, Optionen, Derivate und viele andere Themen wurden in einer Form aufgearbeitet, die sich besonders zum Selbststudium eignet. (04/99)
