We test alternative models of yield curve risk by hedging US Treasury bond portfolios
through note/bond futures. We show that traditional implementations of models based on …

The aim of this paper is to investigate the pricing of the Chicago Board of Trade (CBOT)
Treasury-Bond futures. The difficulty in pricing it arises from its multiple inter-dependent …

This note is dedicated to the impact of collateral on the multi-curve framework. The pricing
formulas in presence of collateral are described in a generic way encompassing several …

This article provides a new method for replicating and pricing the quality options usually
embedded in many future contracts. The replicating strategies may draw on both the future …

Where institutions and individuals averagely invest the majority of their assets in money-
market and fixed-income instruments, interest rate risk management could be seen as the …

Bond futures are characterised by a set of underlying bonds; the short party has the option to
deliver at expiry any of those underlying bonds. Consequently, bond futures embed a choice …

Abstract Systems and methods for determining a present value of an option on a security
having a fixed cash flow leg based upon a Martingale. The Martingale may be based upon a …

CME will soon be proposing a new product: Deliverable Interest Rate Swap Futures. This
note describes the product and analyses its pricing in the Gaussian multi-factor HJM model …

A popular way to value (Bermudan) swaption in a Hull-White or extended Vasicek model is
to use a tree or PDE approach. A more direct approach through iterated numerical …

Bond futures are liquid but complex instruments. Here they are analysed in a one-factor
Gaussian HJM model. The in-the-model delta and out-of-the-model delta and gamma are …