While it is widely claimed in the literature that convexity is correctly priced, we find evidence
in four major swap markets that this is the case only on average and that extended periods …

The global decline in interest rates has created a significant increase in the present value of
pension funds; convexity plays an important role-the convexity bias in the yield curve is well …

The conversion factoring system of the Chicago Board of Trade (CBOT) entails one of the
two rarely understood hedging implications. The hedging implication, arising from the linear …

We build on the work of Wright and Zhou (2009) who show that the average jump mean in
bond prices can predict excess bond returns, capturing the countercyclical behaviour of risk …

The value of Macaulay duration, probably the most widely used quantification method for
measuring interest rate sensitivity of bonds, could roughly be financially interpreted as a …

The aim of this article is to complement the existing economic and financial strand of the
literature by defining three alternative regimes of the clean price volatility of a bond with …

Using quarterly data over 20 years, the paper examines the shape of the term structure of
interest rates in Singapore. The results generally support the liquidity premium hypothesis …

The Macaulay Duration could be roughly interpreted as the percentage change of a bond
price if the shift of interest rate equals 1% along the whole zero-coupon curve; which is …

According to earlier empirical studies, convexity in the US treasury market is arbitrage-free
priced. This paper study whether the arbitrage-free pricing of convexity held even in the …