A model of the convenience yields in on-the-run treasuries
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Publication:704008
DOI10.1023/B:REDR.0000031174.07795.51zbMath1080.91023MaRDI QIDQ704008
Eric Jacquier, Robert A. Jarrow, Joseph A. Cherian
Publication date: 12 January 2005
Published in: Review of Derivatives Research (Search for Journal in Brave)
bond pricing; HJM model; Term structure of interest rates; convenience yield.; repurchase agreements
91B26: Auctions, bargaining, bidding and selling, and other market models
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