This empirical study examines the short-term dynamic lead-lag relationship between five-year Chinese government bond … variance decomposition analysis. The empirical results of this paper reveal that five-year Chinese government bond futures and … variance decomposition analysis show that the returns of five-year Chinese government bond futures one-sidedly lead the …

arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …

bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their … Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future …

individual positions in the French Treasury bond future market, we find evidence in favor of one testable implication of the …

insurances for two crops in three districts each. We then estimate the parameters of rainfall bond and rainfall call option with …

. The results are applied to bond forward contracts and total return swaps with early termination at underlying default …

interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have …

This paper provides new evidence on the dynamic dependences of European corporate credit spread in three markets: Bond … primarily driven by innovations. The intra-market dependence during the current crisis decreases for bond and ASP innovations … but increases for CDS due to the increase of counterparty risk. ASP and bond innovations are closely related suggesting …