A Black–Scholes user's guide to the Bachelier model
To cope with the negative oil futures price caused by the COVID–19 recession, global
commodity futures exchanges temporarily switched the option model from Black–Scholes to …
commodity futures exchanges temporarily switched the option model from Black–Scholes to …
Bond Yield Curve Convexity Trading
J Sun, P Carr - Available at SSRN 3232697, 2018 - papers.ssrn.com
Bond Yield curve is an important indicator of the borrowing costs and lending returns, is also
one of the most observed indicator by traders in fixed income trading desk among …
one of the most observed indicator by traders in fixed income trading desk among …
Concave Shape of the Yield Curve and No Arbitrage
J Sun - arXiv preprint arXiv:1808.03481, 2018 - arxiv.org
In fixed income sector, the yield curve is probably the most observed indicator by the market
for trading and fifinancing purposes. A yield curve plots interest rates across different …
for trading and fifinancing purposes. A yield curve plots interest rates across different …