-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding … equivalence of the European and the American versions of bond power exchange options are provided and the put-call parity relation … for European bond power exchange options is established. Finally, we consider several applications of our results …

fast calibration to the market swaption surface, we apply the Gram-Charlier expansion to calculate the swaption prices in …

fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long …-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a … damping the tail of the DLFM volatility function. …

using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … Fed’s interest rate change; this variable produces market volatility that has a positive effect on bond returns …

dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility …