Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices

S d'Amico, DH Kim, M Wei - Journal of Financial and Quantitative …, 2018 - cambridge.org
Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real
bonds. Using no-arbitrage term structure models, we show that TIPS yields exceeded risk …

Unspanned stochastic volatility and the pricing of commodity derivatives

AB Trolle, ES Schwartz - The Review of Financial Studies, 2009 - academic.oup.com
Commodity derivatives are becoming an increasingly important part of the global derivatives
market. Here we develop a tractable stochastic volatility model for pricing commodity …

Term structure dynamics in theory and reality

Q Dai, K Singleton - The Review of financial studies, 2003 - academic.oup.com
This article is a critical survey of models designed for pricing fixed-income securities and
their associated term structures of market yields. Our primary focus is on the interplay …

[BOOK][B] Empirical dynamic asset pricing: model specification and econometric assessment

KJ Singleton - 2006 - degruyter.com
Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …

Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility

P Collin‐Dufresne, RS Goldstein - The Journal of Finance, 2002 - Wiley Online Library
Most term structure models assume bond markets are complete, that is, that all fixed income
derivatives can be perfectly replicated using solely bonds. How ever, we find that, in …

Treasury option returns and models with unspanned risks

G Bakshi, J Crosby, X Gao, JW Hansen - Journal of Financial Economics, 2023 - Elsevier
We document the phenomenon that average excess returns of out-of-the-money puts and
calls on bond futures are negative, both unconditionally and conditionally on economic …

Linear‐rational term structure models

D Filipović, M Larsson, AB Trolle - The Journal of Finance, 2017 - Wiley Online Library
We introduce the class of linear‐rational term structure models in which the state price
density is modeled such that bond prices become linear‐rational functions of the factors …

Extended LIBOR market models with stochastic volatility

LBG Andersen, R Brotherton-Ratcliffe - Available at SSRN 294853, 2001 - papers.ssrn.com
This paper introduces stochastic volatility to the Libor market model of interest rate
dynamics. As in Andersen and Andreasen (2000a) we allow for non-parametric volatility …

A general stochastic volatility model for the pricing of interest rate derivatives

AB Trolle, ES Schwartz - The Review of Financial Studies, 2009 - academic.oup.com
We develop a tractable and flexible stochastic volatility multifactor model of the term
structure of interest rates. It features unspanned stochastic volatility factors, correlation …

Information in the term structure of yield curve volatility

A Cieslak, P Povala - The Journal of Finance, 2016 - Wiley Online Library
Using a novel no‐arbitrage model and extensive second‐moment data, we decompose
conditional volatility of US Treasury yields into volatilities of short‐rate expectations and term …