Jumps in Bond Yields at Known Times

Jumps in Bond Yields at Known Times
Author: Don H. Kim
Publisher:
Total Pages: 48
Release: 2015
Genre:
ISBN:

We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogeneous affine function of the state vector, and derive other theoretical implications. We apply the model to the term structure of U.S. Treasury rates, estimated at the daily frequency, allowing for jumps on days of employment report announcements. Our model can match the empirical fact that the term structure of interest rate volatility has a hump-shaped pattern on employment report days (but not on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that much of the time-variation in excess bond returns accrues at times of important macroeconomic data releases.

Volatility and Jump Risk Premia in Emerging Market Bonds

Volatility and Jump Risk Premia in Emerging Market Bonds
Author: John Matovu
Publisher: International Monetary Fund
Total Pages: 32
Release: 2007-07
Genre: Business & Economics
ISBN:

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of jump-diffusion models that are successful in approximating the term structure of interest rates of emerging markets. The parameters of the term structure of interest rates are reconciled with the associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and unanticipated jumps cannot generate the non-normalities consistent with the observed interest rates. Jumps occur (8,10) times a year in Argentina and Brazil, respectively. The size and variance of these jumps is also of statistical significance.

Analysing and Interpreting the Yield Curve

Analysing and Interpreting the Yield Curve
Author: Moorad Choudhry
Publisher: John Wiley & Sons
Total Pages: 407
Release: 2019-04-15
Genre: Business & Economics
ISBN: 1119141052

Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.

Bond Markets

Bond Markets
Author: Patrick J. Brown
Publisher: Global Professional Publishi
Total Pages: 112
Release: 1998
Genre: Business & Economics
ISBN: 9781888998559

As cross-market bond trading has increased, it has becomevital for international participants to understand themany different features that characterize the variousinternational bond markets. Of particular interest tobond traders and investors are such factors ascalculation of prices, accrued interest, yields, anddurations. Bond ......

Pricing Options with Futures-Style Margining

Pricing Options with Futures-Style Margining
Author: Alan White
Publisher: Routledge
Total Pages: 224
Release: 2014-02-04
Genre: Business & Economics
ISBN: 1135687897

This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.

The Handbook of Mortgage-Backed Securities, 7th Edition

The Handbook of Mortgage-Backed Securities, 7th Edition
Author: Frank J. Fabozzi
Publisher: Oxford University Press
Total Pages: 916
Release: 2016-09-01
Genre: Business & Economics
ISBN: 0191088781

This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.

Strategic Job Jumping

Strategic Job Jumping
Author: Julia Hartman
Publisher: Prima Lifestyles
Total Pages: 260
Release: 1997
Genre: Business & Economics
ISBN:

We all know the horror stories caused by downsizing, mergers, and the lack of security in today's jobs. Finally, instead of fearing job loss and change, there's a new book that teaches how to job jump in order to find jobs you truly love. "Job jumpers don't jump just for the sake of jumping -- their main goal is to find work that maximizes their professional potential. Job jumpers, with broader industry perspectives, numerous contacts, confidence in their convictions, and a shorter time frame in which to make a difference, transform companies faster than 'loyal' employees do," says /Julia Hartman, a job jumper and author of "Strategic Job Jumping: 50 Very Smart Tactics for Building Your Career. Hartman believes change is the key to growth -- both professional and personal. "If you haven't managed change personally, you're unlikely to be capable of doing it for an employer. Loyal employees in leadership positions sometimes take the no-risk (and no-reward) business strategy, trying to protect their jobs. That's not true for a job jumper." In her book, Hartman explains that those employees that have jumped within an industry are well qualified to predict the future of the industry and understand how a company can change and prosper. Because job jumpers have above-average training and an industry perspective, they know how to change a company by embracing winning strategies and by providing an effective short-term outlook in which to make a difference -- all of which are extremely beneficial. "If your company is ready for positive change, then hire a job jumper, an industry specialist with a 360 degree view. Job jumpers know how to transform themselves, and consequently, helptransform a company to grow, evolve, and prosper. Jumpers can transform their companies faster than long-term, 'loyal' employees. And they are able to take intelligent risks, because they have the objective choice to risk their jobs on changing the status quo," says Hartman.

Interest Rate, Term Structure, and Valuation Modeling

Interest Rate, Term Structure, and Valuation Modeling
Author: Frank J. Fabozzi, CFA
Publisher: John Wiley & Sons
Total Pages: 536
Release: 2002-11-01
Genre: Business & Economics
ISBN: 9780471220947

This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.