We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

We test alternative models of yield curve risk by hedging US Treasury bond portfolios
through note/bond futures. We show that traditional implementations of models based on …

Even if the name futures indicates a simple instrument, bond futures are complex. Several
special features are embedded in the instrument. In particular the future is not written on one …

Using Treasury bond and note futures to hedge fixed‐income portfolios is complicated by
the large number of bonds that are eligible to deliver against the contract. Grieves and …

This paper analyzes the delivery behavior observed in the CBOT T‐Bond futures market
over the period spanning 1985–2016 in order to assess how timing decisions were made …

This article provides a new method for replicating and pricing the quality options usually
embedded in many future contracts. The replicating strategies may draw on both the future …

Where institutions and individuals averagely invest the majority of their assets in money-
market and fixed-income instruments, interest rate risk management could be seen as the …

This thesis consists of four essays exploring risk creation in the banking sector. The essays
examine how conflicting interests can compromise the objectivity, judgment, and decision …

Bond futures are characterised by a set of underlying bonds; the short party has the option to
deliver at expiry any of those underlying bonds. Consequently, bond futures embed a choice …

The banking sector, with all its complexities and diverse participants, is no stranger to
conflicts of interest leading to higher risks. Imagine a world where prestigious banks on both …