We examine the role of price discovery in the US Treasury market through the empirical
relationship between orderflow, liquidity, and the yield curve. We find that orderflow …

This paper examines the consequences for a life annuity insurance company if the solvency
II solvency capital requirements (SCR) are calibrated based on expected shortfall (ES) …

This new edition is a greatly extended and updated version of my earlier monograph"
Pricing Credit Linked Financial Instruments"(Schmid 2002). Whereas the first edition …

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 …

A general class of dynamic factor models is used to obtain optimal bond portfolios, and to
develop a duration-constrained mean-variance optimization, which can be used to improve …

The tools of modern portfolio theory1 are in general use in the equity markets, either in the
form of portfolio optimization software or as an accepted framework in which the asset …

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 …

This paper studies a long butterfly strategy (which is immune to parallel curve shifts but
exposed to non-parallel curve shifts) on the South African interest rate swap curve. Ten …

We present a simple expression for the sensitivity of duration, convexity, and higher-order
bond risk measures to changes in term-structure shape parameters. Our analysis enables …

The dynamic version of the Nelson-Siegel model has shown useful applications in the
investment management industry. These applications go from forecasting the yield curve to …