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DURATION-BASED HEDGING WITH TREASURY BOND FUTURES - A survey of derivatives textbooks and other documents shows at least four different treatments of duration-based hedging with Treasury bond futures. Most hedging methods also employ an incorrect definition of futures duration, and, in some cases, apply the accrued interest pricing method incorrectly. This article develops an alternative model ...

Rendleman Jr, Richard J. - In: The journal of fixed income 9 (1999) 1, pp. 84-91

Persistent link: https://www.econbiz.de/10007337541

DELIVERY OPTIONS IN THE PRICING AND HEDGING OF TREASURY BOND AND NOTE FUTURES - An arbitrage-free stochastic term structure model is used here to determine the equilibrium Treasury bond futures price in terms of the option to deliver one of many eligible bonds as well as the appropriate quantity of Treasury bond futures required to hedge the bond identified initially as cheapest to deliver. If ...

Rendleman Jr, Richard J. - In: The journal of fixed income 14 (2004) 2, pp. 20-31

Persistent link: https://www.econbiz.de/10007151989

A GENERAL MODEL FOR HEDGING SWAPS WITH EURODOLLAR FUTURES

Rendleman Jr, Richard J. - In: The journal of fixed income 14 (2004) 1, pp. 17-31

Persistent link: https://www.econbiz.de/10007153025

INTERPOLATING THE TERM STRUCTURE FROM PAR YIELD AND SWAP CURVES

Rendleman Jr, Richard J. - In: The journal of fixed income 13 (2004) 4, pp. 80-89

Persistent link: https://www.econbiz.de/10007154578

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