We test alternative models of yield curve risk by hedging US Treasury bond portfolios
through note/bond futures. We show that traditional implementations of models based on …

Even if the name futures indicates a simple instrument, bond futures are complex. Several
special features are embedded in the instrument. In particular the future is not written on one …

This article provides a new method for replicating and pricing the quality options usually
embedded in many future contracts. The replicating strategies may draw on both the future …

Where institutions and individuals averagely invest the majority of their assets in money-
market and fixed-income instruments, interest rate risk management could be seen as the …

本文围绕国债期货中的最便宜交割债券, 详细讨论了最便宜交割债券的选择和可交割债券的交割
损失, 并以目前最为成熟的美国国债期货市场为例, 从实际数据和模拟数据两个方面进行了分析 …

Various futures exchanges have considered launching two new futures contracts related to
inflation: a Consumer Price Index (CPI) futures contract and a deliverable TIPS futures …

我国现行的国债期货定价相对复杂. 充分理解" 质量期权" 的性质和价值对国债期货交易,
套利和套期保值都具有十分重要的意义. 在对国债期货的设计原理及国债期货市场特有的标准券 …

Even if the name futures indicate a simple instrument, bond futures are complex. Several
special features are embedded in the instrument. In particular the future is not written on one …

The main goal of this book is to promote a broader use of multi-factor models for managing
the risks of fixed-income portfolios. The final chapter of the book supports this use by …

year and 10-year term treasury bond futures were launched officially in September 6, 2013
and March 20, 2015, marking the interest rate futures re-board the stage of history …