A model of the convenience yields in on-the-run treasuries

DOI10.1023/B:REDR.0000031174.07795.51MaRDI QIDQ704008zbMATH OpenOpenAlexFDO

Authors Joseph A. Cherian, Eric Jacquier, Robert A. Jarrow

Publication date 12 January 2005

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:redr.0000031174.07795.51

zbMATH Keywords

bond pricingconvenience yield.HJM modelrepurchase agreementsTerm structure of interest rates

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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• Yield curves from different bond data sets
• Special repo rates and the cross-section of bond prices: the role of the special collateral risk premium
• Convenience yields

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