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 …

The definitive guide to fixed-come securities-revised to reflect today's dynamic financial
environment The Second Edition of the Fixed-Income Securities and Derivatives Handbook …

We analyze the price effect of the introduction of collective action clauses (CACs) in newly
issued sovereign bonds of eurozone countries as of January 1, 2013. By allowing a majority …

Five methods of estimating the term structure from on-the-run Treasuries are compared with
respect to error in spot rate estimation, forward rate estimation, and coupon bond pricing …

This paper examines intra-day trading data from the inter-dealer broker market for US
Treasury securities and measures the degree of price pressure in the off-the-run Treasury …

This book is tightly focused on the pricing and hedging of fixed income securities and their
derivatives. It is targeted at those who are interested in trading these instruments in an …

B-Spline approximation technique has been applied as an empirical methodology for
estimating the term structure of interest rates. This study investigates the implementation of B …

This paper proposes a new Monte Carlo technique for pricing options on forward bonds, by
diffusing the bond-related Yield To Maturity (YTM). The framework stands for both sovereign …

This paper surveys methodologies on the statistical approach to term structure estimation,
also known as yield curve smoothing models. Specifically, term structure estimation methods …

In this chapter we consider some of the techniques used to actually fit the term structure. In
theory we could use the bootstrapping approach described earlier. For a number of reasons …