Proves existence of long bond, long forward measure, and long-term factorization in HJM models.
problem Existence of long bond, long forward measure, and long-term factorization in HJM models.
method Function space framework of Filipovic (2001) and sufficient condition on the weight in the Hilbert space of forward rate volatility curves.
result Existence of long bond volatility process, long bond process, and long-term factorization of SDF.
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ratios, and implies that the long bond is far from growth optimality. In…
The paper analyzes long-range correlations in bond markets using DMA method.
problem Understanding long-range auto- and cross-correlations in bond markets.
method Detrended Moving Average (DMA) method and complex network analysis.
result Long-range correlations in bond markets are persistent and show market segmentation.
Empirical study on long-term discount rates using historical bond prices.
problem Estimating long-term real interest rates and discount rates from historical bond data.
method Using Fourier transforms to derive the discount function and fitting it to historical data.
result Estimated long-term discount rates of 1.7% for UK and 2.2% for US.
Optimizes bond portfolios to avoid worst-case losses.
problem Finding the worst-case value of a bond portfolio over a range of yield curves and spreads.
method Solves a convex-concave saddle point optimization problem to find the worst-case value and construct a robust portfolio.
result Constructs a bond portfolio that includes the worst-case value, ensuring robustness against market uncertainties.
This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in order to measure long range dependence. We detect that Hurst exponents behave di…
The optimal strategies for a long-term static investor are studied. Given a portfolio of a stock and a bond, we derive the optimal allocation of the capitols to maximize the expected long-term growth rate of a utility function of the wealth. When the bond has constant interest rate, three models for the underlying stoc…
The classical derivation of the well-known Vasicek model for interest rates is reformulated in terms of the associated pricing kernel. An advantage of the pricing kernel method is that it allows one to generalize the construction to the Lévy-Vasicek case, avoiding issues of market incompleteness. In the Lévy-Vasicek mo…
This paper introduces a new method to price long-dated insurance contracts.
problem Pricing of long-dated, insurance-type contracts is complex and inconsistent.
method Loading pricing combines theoretically minimal and formally risk-neutral prices.
result Loading degree is constant for minimally fluctuating contracts and is a key characteristic.
Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility …
The paper factors long-term affine pricing kernels into two components.
problem Understanding long-term behavior of affine pricing kernels.
method Long-term factorization into discounting rate and martingale component.
result Explicit identification of long bond volatility and martingale component volatility.
Study of bonded knots and braids with new algebraic models.
problem Classifying and understanding physical or chemical bonds in knots and braids.
method Developed new algebraic models (bonded knots, braids, braidoids) and invariants.
result New algebraic structures and invariants for bonded knots and braids.
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all nominal interest rates remain positive in the model. We give examples where our mode…
Develops a bi-variate stochastic framework to model mortality and interest rates with long-range dependence.
problem Captures long-range dependence and instantaneous correlation in mortality and interest rates.
method Mixed fractional Brownian motions, analytical solutions, risk-neutral measure, sequential parameter estimation.
result Explicit pricing of zero-coupon bonds and extreme mortality bonds, practical implications for pricing and risk management.
Study predicts bond yields using machine learning and ultimate forward rates.
problem Forecasting bond yields using ultimate forward rates.
method Applied de Kort-Vellekooptype methodology for UFR estimation, used linear and nonlinear machine learning techniques.
result Nonlinear machine learning models outperform linear models in bond yield forecasting.
Open AI models affect bond yields differently than closed ones.
problem Understanding how market reactions to AI releases impact bond yields.
method Analyzed US bond yields before and after the release of open and closed AI models.
result Open AI models shift bond yields in the opposite direction of closed models.
We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and volatility for bond futures are treated particularly at the long-time limit. The volatili…
Long-term debt instruments can't be deposit substitutes due to mismatched features.
problem Long-term debt instruments cannot function as deposit substitutes due to their maturity and capital preservation.
method Applied fundamental theory of bond values to 'PEACe Bonds' to show incompatibility.
result Long-term debt instruments cannot be deposit substitutes due to their mismatched features.
LSTMs improve bond yield forecasting with unique signals.
problem Improving bond yield forecasting accuracy.
method Long short-term memory (LSTM) networks with sequence-to-sequence architectures and LSTM-LagLasso methodology.
result Univariate LSTM models with additional memory can achieve similar results as multivariate MLP models using exogenous information.
Study uses VIX for zero-coupon Treasury rates, proving long-term stability and returns.
problem Modeling zero-coupon Treasury rates with VIX for volatility.
method Multivariate autoregressive stochastic volatility model, proving stability and Law of Large Numbers.
result VIX accurately models zero-coupon Treasury rates and returns.
In this paper we show how to hedge a zero coupon bond with a smaller amount of initial capital than required by the classical risk neutral paradigm, whose (trivial) hedging strategy does not suggest to invest in the risky assets. Long dated zero coupon bonds we derive, invest first primarily in risky securities and whe…
Study analyzes cointegration in US, Canadian, and Mexican bond markets.
problem Identify long-term common factors driving government bond interest rates.
method Used vector autoregression (VAR) and error correction models to analyze cointegration.
result Found long-term common factors influencing US, Canadian, and Mexican bond markets.
The paper explains the fair basis in bond-CDS trading during financial crises.
problem Large basis trading losses during financial crises are not explained by reduced form models.
method Dynamic spread model with bond repo financing, economic capital approach.
result Unhedged and unhedgeable residual jump to default risk exists, affecting fair basis level.
The VIX is used to model corporate bond volatility and returns.
problem Modeling volatility and returns for corporate bonds using observable data.
method Applied stochastic volatility models using the VIX index to corporate bond rates and spreads.
result Residuals of corporate bond returns divided by VIX are closer to Gaussian white noise.
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in…
CATNet predicts CAT bond spreads using graph-based deep learning.
problem Complex, relational data in CAT bonds not well captured by traditional models.
method CATNet applies R-GCN to CAT bond primary market as a graph.
result CATNet outperforms Random Forest and XGBoost benchmarks.
Bayesian approach improves Nelson-Siegel yield curve modeling.
problem Yield curve modeling in finance.
method Hierarchical Bayesian model with MAP estimates via BFGS algorithm and HMC.
result Strong negative correlation between bond price and long-term yield effect, weak positive correlation between short-term rate effect and bond value.
The study improves stock market valuation using volatility and earnings data.
problem Improving stock market valuation metrics.
method Time series model for asset returns, multivariate kernel density estimation, linear regression.
result The valuation measure is an improvement over Shiller's P/E ratio.
Develops a new model to better predict corporate bond yields.
problem Persistent shifts in interest rates undermine single-regime models.
method Regime-switching generalized CIR model with two-state short-rate process and credit factors.
result The model improves joint curve fit and delivers interpretable probabilities.
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…
The study proposes a new interest rate model that captures long-term periodicity in U.S. Treasury yields.
problem The conventional Hull-White model fails to adequately capture long-term economic cycles in interest rates.
method The study introduces a sinusoidal Hull-White model with a time-varying mean reversion speed.
result The proposed model improves bond pricing and interest rate derivative valuation, especially for longer maturities.
HLTF generates chemically valid 3D molecules with improved topology control.
problem Generating chemically valid 3D molecules is challenging due to bond topology errors.
method HLTF uses a latent multi-scale plan for global context and a constraint-aware sampler to suppress topology-driven failures.
result HLTF achieves high validity and uniqueness on QM9 and GEOM-DRUGS datasets.
Paper offers fast, accurate pricing for long-dated contracts using real-world probability measure.
problem Inaccurate pricing of long-dated contracts in insurance and pension funds.
method Applies RMQ and JRMQ algorithms under real-world measure, using benchmark approach.
result Prices are less expensive than risk-neutral valuation, highlighting departure from traditional methods.
Pricing Chinese convertible bonds using Monte Carlo simulation and dynamic programming.
problem Pricing Chinese convertible bonds accurately.
method Monte Carlo simulation and dynamic programming with regression and backward induction.
result An underpriced strategy significantly outperforms benchmarks.
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, see Biagini et al. [2018], Biagini and Härtel [2014], and El Karoui et a…
Proposes a bond portfolio solution for managing interest rate risk.
problem Managing long-term assets and liabilities under interest rate risk.
method Proposes a bond portfolio solution based on ambiguity-averse preferences, accommodating various constraints and interest rate perturbations.
result Optimal portfolio can be computed as a simple generalized least squares problem, enhancing out-of-sample performance.
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles of credit derivatives i…
Paper proves long-term investor behavior based on power utility coefficient.
problem Understanding long-term behavior of optimal strategies in financial markets.
method Bayesian financial market model with power utility maximization.
result Optimal strategy behavior depends on power utility coefficient sign.
Paper introduces benchmark-neutral pricing for long-term contracts.
problem High prices of long-term contracts under risk-neutral pricing.
method Uses growth optimal portfolio as numeraire and new pricing measure.
result Identifies minimal possible prices for contingent claims.
Proposes a stochastic model for South African actuarial use.
problem Long-term forecasting for South African institutions.
method Modeling economic series, estimating parameters, testing stability.
result Validated model for long-term forecasts.
Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we use a battery of parametric and non-parametric tests to demonstrate the existence of an antibubble in the yields with maturities larger than 1 year since October 2000. The concept of ``antibubble'' describes the e…
Developed algebraic theory of bonded braids, proving Markov theorem.
problem Studied bonded knots and their algebraic properties.
method Introduced bonded braid monoid, proved Alexander and Markov theorems.
result Every bonded knot is the closure of a bonded braid, and equivalent knots have related braid representatives.
Study finds it hard to establish common factor pricing in corporate bonds.
problem Difficulty in establishing common factor pricing in corporate bonds.
method Portfolio- and bond-level analyses using multifactor models.
result Common factor pricing in corporate bonds is not significantly explanatory.
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Gree…
Model shows government incentives boost green bond investment.
problem Increasing green investments through government incentives.
method Optimal incentives indexed on bond prices and covariation, applied to a portfolio of bonds.
result Method outperforms current tax-incentives systems in green investments.
Model proteins with bonds using Kauffman bracket skein module.
problem Modeling proteins with bonds for structural analysis.
method Extend Kauffman bracket polynomial to bonded knots.
result Infinite generation and torsion-freeness of the bonded skein module.
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuat…
Paper uses PCA to analyze Chinese sovereign bonds and discusses bond immunization.
problem Analyzing factors affecting Chinese sovereign bond yield changes.
method Applied Principal Component Analysis (PCA) on bond yield data.
result Identified principal factors influencing Chinese sovereign bond yield changes.