Understanding the dynamic evolution of the yield curve is critical to many financial tasks,
including pricing financial assets and their derivatives, managing financial risk, allocating …

Purpose The purpose of this research is to propose a framework for research on Macaulay
duration and establish future research directions. Design/methodology/approach Thematic …

The deep understanding of the forces that affect the valuation, risk and return of fixed income
securities and their derivatives has never been so important. As the world of fixed income …

In this paper, we estimate and interpret the factors that jointly determine bond returns of
different maturities in the US, Germany and Japan. We analyze both currency-hedged and …

PHILIPPE PRIAULET is a derivatives strategist at HSBC-CCF in Paris and associate
professor of mathematics at the University of Evry Val d'Essonne in Evry, France. philippe …

Performance persistence studies typically suffer from ex-post conditioning biases. As
stressed by Carhart [Carhart, MM, 1997. Mutual Fund Survivorship, Working Paper, Marshall …

We assess and apply the term-structure model introduced by Nelson and Siegel (1987) and
re-interpreted by Diebold and Li (2005) as a modern three-factor model of level, slope and …

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 investigate here the sensitivity of the equity values of a large sample of German financial
institutions to movements in the term structure of interest rates. While similar approaches rely …

Zero-coupon interest rates are the fundamental building block of fixed-income mathematics,
and as such have an extensive number of applications in both finance and economics. The …