Articles
Bonds
Uncategorised
Fixed Income: No Negative?
Research Commissioned By Aeon reveals growing optimism for negative bond yields to improve substantially
Ito 33
What’s in Store for Convertible Bonds?
Convertible Bond Issuance Shattered Records in 2020 and Continues Apace This Year. For the Market New Sophistication and Technological Complexity Are Now Spreading Fast Says Serge Kouyoumjian of ITO33
News
Bonds: New Records, New Strategies
New Whitepaper from Quantifi explores The Growth of Relative Value Credit Strategies
Articles
Articles
Forecasting the Yield Curve with S-Plus
Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and […]
Articles
A VaR-based Model for the Yield Curve
An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This […]
Wilmott Inner Circle
Fast Estimation of American Bond Option Prices: Wilmott Magazine Article – Snorre Lindset, Arne-Christian Lund
You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]