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Showing 1 to 5 of 5 for “"zero-coupon bonds"”.
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The term structure of zero-coupon and coupon bonds: a comparative analysis
The behavior of the term structure of zero-coupon bonds parallels the behavior of coupon bonds. Previous studies have demonstrated that there are synchronous changes among different maturities of coupon bonds. Results of statistical and sign tests are used to measure the degree of synchronicity, …
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Pricing of contingent claims under the real-world measure
… prices, primary security accounts, and even zero-coupon bonds. We begin with application of the real-world pricing formula to derive forward prices for each of these financial quantities. The obtained formulae are model independent, yet reveal important differences between the real-world arid …
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The term structure of interest rates: a comparative analysis of zero-coupon bond forward rates and Eurodollar futures rates
… changes among different maturities of coupon and zero-coupon bonds. Evidence has also been found that the magnitude of these synchronous changes is inversely related to the time to maturity. This study uses the Anderson-Leies synthetic zero-coupon yield curve from Caroline Leies' study …
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Hedging performance of interest-rate models
… using different combinations of theoretical zero-coupon bonds. A flexible factor hedging method is proposed by the author and the bucket hedging technique detailed by Driessen, Klaasen and Melenberg (2003) is tested. The results obtained support the claims made by Gupta and Subrahmanyam …
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Polynomial Multi-Curve Models And Extensions In Mathematical Finance
… this crisis on the pre-crisis relation between zero-coupon bonds and forward rate agreements written on the Libor/Euribor rates. This particularly, this includes describing the dynamics of spread rates in addition to interest rates, which to date had not been part of pre-crisis models. Following …