We infer conditional swap rate moments model independently from swaption cubes.
Conditional volatility and skewness exhibit systematic variation across swap maturities and …

This ultimate guide contains an excellent blend of theory and practice This comprehensive
guide covers various aspects of model building for fixed income securities and derivatives …

We conduct an empirical analysis of the term structure in the volatility risk premium in the
fixed income market by constructing long-short combinations of two at-the-money straddles …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

This article examines volatility trades in Lehman Brothers 20+ Year US Treasury Index
iShare (TLT) options from July 2003 through May 2007. Unconditionally selling front contract …

This dissertation presents evidence of five studies showing that sovereign fixed income
markets are not always price efficient. The emerging local currency debt market has grown …

This paper contributes to the ongoing debate of whether active investing is still worthwhile in
presence of factor investing. It provides a universal framework that selects presumably factor …

Despite the large body of evidence of a volatility risk premium embedded in option prices,
little is known about its behavior over the cross-section of option maturities. This study …

We study the volatility risk premium, where the implied volatility exceeds the realized
volatility, in multiple asset classes and countries simultaneously. Extracting the volatility risk …