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Pricing The Cbot T Bonds Futures
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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 Testing Pricing Models for the Treasury Bond Futures Contract by : Hugh Cohen
Download or read book Testing Pricing Models for the Treasury Bond Futures Contract written by Hugh Cohen and published by . This book was released on 1991 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis CBOT Financial Instruments Guide by :
Download or read book CBOT Financial Instruments Guide written by and published by . This book was released on 1999 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Groupe d'études et de recherche en analyse des décisions (Montréal, Québec) Publisher : ISBN 13 : Total Pages :31 pages Book Rating :4.:/5 (123 download)
Book Synopsis Pricing the CBOT T-bonds Futures by : Groupe d'études et de recherche en analyse des décisions (Montréal, Québec)
Download or read book Pricing the CBOT T-bonds Futures written by Groupe d'études et de recherche en analyse des décisions (Montréal, Québec) and published by . This book was released on 2006 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Relationship Between Futures Prices for U.S. Treasury Bonds by : Bruce G. Resnick
Download or read book The Relationship Between Futures Prices for U.S. Treasury Bonds written by Bruce G. Resnick and published by . This book was released on 1982 with total page 42 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 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 Fair Pricing in the Treasury Bond Futures Market by : Brian J. Denny
Download or read book Fair Pricing in the Treasury Bond Futures Market written by Brian J. Denny and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Treasury Futures Markets written by and published by . This book was released on 1979 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price-Forecasting Models for U.S. Treasury Bond Futures, Mar- ZB=F Stock by : Ton Viet Ta
Download or read book Price-Forecasting Models for U.S. Treasury Bond Futures, Mar- ZB=F Stock written by Ton Viet Ta and published by . This book was released on 2021-03-15 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: https: //www.dinhxa.com One-Week Free Trial (subject to change) Do you want to earn up to a 231% annual return on your money by two trades per day on U.S. Treasury Bond Futures, Mar- ZB=F Stock? Reading this book is the only way to have a specific strategy. This book offers you a chance to trade ZB=F Stock at predicted prices. Eight methods for buying and selling ZB=F Stock at predicted low/high prices are introduced. These prices are very close to the lowest and highest prices of the stock in a day. All methods are explained in a very easy-to-understand way by using many examples, formulas, figures, and tables. The BIG DATA of the 5098 consecutive trading days (from September 21, 2000 to March 4, 2021) are utilized. The methods do not require any background on mathematics from readers. Furthermore, they are easy to use. Each takes you no more than 30 seconds for calculation to obtain a specific predicted price. The methods are not transient. They cannot be beaten by Mr. Market in several years, even until the stock doubles its current age. They are traits of Mr. Market. The reason is that the author uses the law of large numbers in the probability theory to construct them. In other words, you can use the methods in a long time without worrying about their change. The efficiency of the methods can be checked easily. Just compare the predicted prices with the actual price of the stock while referring to the probabilities of success which are shown clearly in the book (click the LOOK INSIDE button to read more information before buying this book). The book is very useful for Investors who have decided to buy the stock and keep it for a long time (as the strategy of Warren Buffett), or to sell the stock and pay attention to other stocks. The methods will help them to maximize profits for their decision. Day traders who buy and sell the stock many times in a day. Although each method is valid one time per day, the information from the methods will help the traders buy/sell the stock in the second time, third time or more in a day. Beginners to ZB=F Stock. The book gives an insight about the behavior of the stock. They will surely gain their knowledge of ZB=F Stock after reading the book. Everyone who wants to know about the U.S. stock market. https: //www.dinhxa.com includes a software (app) for stock price forecasting using the methods in this book. The software gives 114 predictions while this book gives 16. One-Week Free Trial (subject to change)
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 An Analysis of the True Notional Bond System Applied to the CBOT T-Bonds Futures by : Ramzi Ben-Abdallah
Download or read book An Analysis of the True Notional Bond System Applied to 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 main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board of Trade Treasury-bond futures, one of the most traded derivatives in the world. This system is proposed as an alternative to the current conversion factor system (CFS), whose poor performance is well known. In this paper, we price the CBOT T-bond futures as well as all its embedded delivery options and compare the corresponding results under the CFS in a stochastic interest rate framework. Our pricing procedure is an adaptation of the Dynamic Programming (DP) algorithm described in Ben-Abdallah et al. (2006), giving the value of the futures contract under the TNBS as a function of time and current short-term interest rate. Numerical illustrations, provided under the Vacisek and CIR models, show that the TNBS reduces dramatically the value of all the delivery options embedded in the CBOT T-bond futures.
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 The Pricing of Options on T-bond Futures when Volatility is Changing by : Kenji Imai
Download or read book The Pricing of Options on T-bond Futures when Volatility is Changing written by Kenji Imai and published by . This book was released on 1991 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market by : Alex Kane
Download or read book Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market written by Alex Kane and published by . This book was released on 1985 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p.m. when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p.m. and that trading in Treasury bonds car, occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p.m., the short has the option of settling the contract at a favorable 2:00 p.m. price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the "wild card option." This paper presents avaluation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise
Book Synopsis The Futures Bond Basis by : Moorad Choudhry
Download or read book The Futures Bond Basis written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
