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Author : Simon Benninga
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (187 download)
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:
Author : Frank Fabozzi
Publisher : McGraw Hill Professional
ISBN 13 : 0071715533
Total Pages : 27 pages
Book Rating : 4.0/5 (717 download)
Download or read book The Handbook of Fixed Income Securities, Chapter 53 - Treasury Bond Futures Mechanics and Basis Valuation written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Author : Hugh Cohen
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.E/5 ( download)
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:
Author : Galen Burghardt
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 320 pages
Book Rating : 4.3/5 (512 download)
Download or read book The Treasury Bond Basis written by Galen Burghardt and published by McGraw-Hill Companies. This book was released on 1994 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Treasury Bond Basis provides a comprehensive and detailed discussion of the relationship between the Treasury Bond market and Treasury bond futures. Vital information such as analysis of the basis relationship between shorter term Treasure securities and Treasury bill and note futures is all her
Author : Bruce G. Resnick
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.0/5 ( download)
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:
Author : Moorad Choudhry
Publisher : John Wiley & Sons
ISBN 13 : 0470029463
Total Pages : 256 pages
Book Rating : 4.4/5 (7 download)
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.
Author : Brian J. Denny
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (299 download)
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:
Author : Karin Peterson LaBarge
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.:/5 (29 download)
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:
Author : Galen Burghardt
Publisher :
ISBN 13 :
Total Pages : 126 pages
Book Rating : 4.3/5 ( download)
Download or read book Treasury Options for Institutional Investors written by Galen Burghardt and published by . This book was released on 1997 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hugh Cohen
Publisher :
ISBN 13 :
Total Pages : 112 pages
Book Rating : 4.E/5 ( download)
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:
Author : Edward Ehud Yardeni
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.0/5 ( download)
Download or read book Managing Interest Rate Risk with Bond Futures written by Edward Ehud Yardeni and published by . This book was released on 1981 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramzi Ben-Abdallah
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author : Allan M. Loosigian
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 462 pages
Book Rating : 4.:/5 (321 download)
Download or read book Interest Rate Futures written by Allan M. Loosigian and published by Irwin Professional Publishing. This book was released on 1980 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank Fabozzi
Publisher : McGraw Hill Professional
ISBN 13 : 0071715517
Total Pages : 27 pages
Book Rating : 4.0/5 (717 download)
Download or read book The Handbook of Fixed Income Securities, Chapter 51 - Introduction to Interest-Rate Futures and Options Contracts written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Author : John Holland Toles
Publisher :
ISBN 13 :
Total Pages : 276 pages
Book Rating : 4.:/5 (289 download)
Download or read book Treasury Bond Futures written by John Holland Toles and published by . This book was released on 1993 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christopher K. Ma
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (213 download)
Download or read book Limit Moves and Price Resolution written by Christopher K. Ma and published by . This book was released on 1988 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alex Kane
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (132 download)
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
