The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income
Valuation and Risk Analysis comprehensively covers the most definitive work on interest …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

In Falkenstein and Hanweck,(1996), we presented a technique for hedging fixed-income
portfolios against non-parallel yield curve shifts called covariance-consistent key rate …

Compensatory ratio hedging is a methodology whereby an amount of a bond that is hedged
by a swap varies during the life of the swap, per a predetermined schedule, such that the …

The sovereign debt crisis challenged investors in European government bonds to deal with
volatile interest rate spreads. For managing sovereign risk,“Eurex” introduced futures …

In order to improve the prediction accuracy of asset allocation model, the Black–Litterman
(BL) asset allocation model based on principal component analysis (PCA) under uncertainty …

随着中国债券市场的发展, 如何对债券组合进行套期保值已成为众多金融机构亟待解决的问题.
本文首先使用Nelson—Siegel 模型拟合出2002 年沪深交易所国债的利率期限结构, 然后运用2 …

Regression and duration are competing hedging models for reducing the risk of a debt
position. This paper compares these models to determine if one method provides …

A computer-assisted method for analyzing the interest rate exposure of a fixed-income
instrument, such as a bond, is disclosed. The method includes the step of identifying N …

This work proposes an accounting calculation scheme for hedging swaps based on the
requirements listed under International Accounting Statement (IAS) 39. In particular we …