Sökning: "Adam Prinselaar"

Hittade 1 uppsats innehållade orden Adam Prinselaar.

  1. 1. The Effect of Bond Convexity in Abnormal Volatility

    Kandidat-uppsats,

    Författare :Adam Prinselaar; Johan Särén; [2016-07-06]
    Nyckelord :Convexity; Duration; Fixed-Income; Volatility; U.S. Treasury Bonds; Bond Returns;

    Sammanfattning : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. LÄS MER