Author: BRIAN G. CHOW AND DAVID J. BROPHYPublisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
THE U.S. TREASURY BILL FUTURES MARKET AND HYPOTHESES REGARDING THE TERM STRUCTURE OF INTEREST RATES
Author: BRIAN G. CHOW AND DAVID J. BROPHYPublisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
The Treasury Bill Futures Market and the Term Structure of Interest Rates
Author: Robert William HullPublisher:
ISBN:
Category : Interest rate futures
Languages : en
Pages : 162
Book Description
Confirmation of the Expectations Theory of the Term Structure of Interest Rates with US Treasury Bill Futures
Author: George Hiroshi SaitoPublisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 72
Book Description
Interest Rate Futures
Author: Gerald D. GayPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 524
Book Description
Introduction to futures markets; The efficiency of the interest rate futures market; Hedging with interest rate futures; The institutional environment.
Liquidity of the Treasury Bill Market and the Term Structure of Interest Rates
Author: Pu ShenPublisher:
ISBN:
Category : Government securities
Languages : en
Pages : 88
Book Description
The Term Structure of Interest Rates, Cross-market Integration, and Pricing Efficiency in the U.S. Treasury Market
Author: David Ryan KuipersPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 392
Book Description
This dissertation consists of three essays that investigate pricing issues in the U.S. Treasury market. The first essay, "On the Performance of Affine Term Structure Models: Evidence from the U.S. Treasury STRIPS Market," tests three popular continuous-time term structure models that are special cases of the one-factor affine class of stochastic factor models, and finds that, in certain specifications, this class of models fits observed prices and yields within the bid-ask spread. The second essay, "Negative Option Values are Possible: The Impact of Treasury Bond Futures on the Cash U.S. Treasury Market," describes in detail an episode of anomalous pricing in the cash Treasury market where negative implied option values were observed, and traces the source of the mispricing to distortions caused by the design of the CBT Treasury bond futures contract. The final essay, "Pricing Efficiency in the U.S. Treasury STRIPS Market," investigates the pricing relation between strippable cash Treasury notes and bonds and their component STRIPS portfolios, and finds that, contrary to previous research, these two markets are extremely well-integrated and any pricing discrepancies between the two are small and fleeting. The overall conclusion to be drawn from this dissertation is that all segments of the U.S. Treasury market are well-integrated; as a result, pricing discrepancies or innovations in one sector of the market can often be detected with relative ease using prices from one of the other markets.
The Term Structure of Interest Rates
Author: David MeiselmanPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96
Book Description
The Cyclical Behavior of the Term Structure of Interest Rates
Author: Reuben A. KesselPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 134
Book Description
Interest Rate Futures
Author: Allan M. LoosigianPublisher: Irwin Professional Publishing
ISBN:
Category : Interest rate futures
Languages : en
Pages : 462
Book Description
Essays on the Term Structure of Interest Rates
Author: Lance Alexander FisherPublisher:
ISBN:
Category :
Languages : en
Pages : 392
Book Description