Time is money: An empirical investigation of delivery behavior in the US T‐Bond futures market
M Breton, R Ben‐Abdallah - Journal of Futures Markets, 2018 - Wiley Online Library
This paper analyzes the delivery behavior observed in the CBOT T‐Bond futures market
over the period spanning 1985–2016 in order to assess how timing decisions were made …
over the period spanning 1985–2016 in order to assess how timing decisions were made …
Pricing the Chicago Board of Trade T-Bond futures
R Ben-Abdallah, H Ben-Ameur, M Breton - Quantitative Finance, 2012 - Taylor & Francis
The aim of this paper is to investigate the pricing of the Chicago Board of Trade (CBOT)
Treasury-Bond futures. The difficulty in pricing it arises from its multiple inter-dependent …
Treasury-Bond futures. The difficulty in pricing it arises from its multiple inter-dependent …
Ultra Treasury Bond Futures.
RR Chen, D Leistikow, YT Su, SK Yeh - Journal of Fixed Income, 2023 - pm-research.com
In this article, we determine the quality option value of Ultra Treasury bond futures contracts,
which allow deliverable bonds between 25 and 30 years to maturity, and compare them with …
which allow deliverable bonds between 25 and 30 years to maturity, and compare them with …
History Is Repeating Itself: Get Ready for a Long Dry Spell
R Ben-Abdallah, M Breton - Financial Analysts Journal, 2017 - Taylor & Francis
The recent disappearance of a five-year maturity gap from the set of bonds deliverable to the
Chicago Board of Trade Treasury bond futures has resulted in a distinctive configuration …
Chicago Board of Trade Treasury bond futures has resulted in a distinctive configuration …
An ex-post analysis of the CME Group's solution to the 5-year gap issue
R Ben-Abdallah, M Breton - Applied Economics, 2017 - Taylor & Francis
In early 2001, the US Department of the Treasury suspended the issuance of 30-year bonds,
and then resumed issuing its long paper in early 2006. As a result, there was a 5-year gap in …
and then resumed issuing its long paper in early 2006. As a result, there was a 5-year gap in …
[CITATION][C] Valuation and properties of leverage endless knock-out certificates on government bond futures
O Entrop, C Peters, M Wilkens - 2012 - Working paper available at https …