Correlations in the bond-future market

Correlations in the Bond–Future Market

We analyze the time series of overnight returns for the bund and btp futures exchanged at liffe (London). The overnight returns of both assets are mapped onto a one–dimensional symbolic–dynamics random walk: The “bond walk”. During the considered period (October 1991—January 1994) the bund–future market opened earlier than the btp–future one. The crosscorrelations between the two bond walks, as...

co nd - m at / 9 90 32 20 14 M ar 1 99 9 Correlations in the Bond � Future Market

We analyze the time series of overnight returns for the bund and btp futures exchanged at liffe (London). The overnight returns of both assets are mapped onto a one{dimensional symbolic{dynamics random walk: The \bond walk". During the considered period (October 1991|January 1994) the bund{future market opened earlier than the btp{future one. The crosscorrelations between the two b o n d w alks...

the test for adverse selection in life insurance market: the case of mellat insurance company

انتخاب نامساعد یکی از مشکلات اساسی در صنعت بیمه است. که ابتدا در سال 1960، توسط روتشیلد واستیگلیتز مورد بحث ومطالعه قرار گرفت ازآن موقع تاکنون بسیاری از پژوهشگران مدل های مختلفی را برای تجزیه و تحلیل تقاضا برای صنعت بیمه عمر که تماما ناشی از عدم قطعیت در این صنعت میباشد انجام داده اند .وهدف از آن پیدا کردن شرایطی است که تحت آن شرایط انتخاب یا کنار گذاشتن یک بیمه گزار به نفع و یا زیان شرکت بیمه ...

Pricing Bond Yields in the European Bond Market

Optimal portfolio choice in the bond market

We consider the Merton problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath–Jarrow–Morton model of the interest rate term structure driven by an infinite-dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal trading strategy. When there is uniqueness, we provide a cha...