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Does duration extension enhance excess returns?

Berndsen, Jan (contributor) - 2003 - [Elektronische Ressource]

the placements of their assets in longer term bonds. Based on realised total bond returns of the major bond markets this … duration extension is limited. The major government bond and US agency markets do reward interest rate risk, but (excess …-income investor can improve the risk/return characteristics of a bullet treasury bond portfolio with a given interest rate exposure …

Persistent link: https://www.econbiz.de/10001746587

Danish government borrowing and debt

Danmarks Nationalbank - Copenhagen : [Verlag nicht ermittelbar] - 1998(1999) - 2012(2013)

Persistent link: https://www.econbiz.de/10001363564

Central government borrowing and debt ...

Danmarks Nationalbank - Copenhagen : Danmarks Nationalbank - 2021-

Persistent link: https://www.econbiz.de/10015196372

Danish government borrowing and debt

Danmarks Nationalbank - Copenhagen : [Verlag nicht ermittelbar] - 1998(1999)-2020

Persistent link: https://www.econbiz.de/10009712343

Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M Euribor futures option prices

Bødskov Andersen, Allan (contributor); … - 2002 - [Elektronische Ressource]

Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. These methods have the...

Persistent link: https://www.econbiz.de/10001723101