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 …

The tools of modern portfolio theory1 are in general use in the equity markets, either in the
form of portfolio optimization software or as an accepted framework in which the asset …

Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives
to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage …

This study takes a comprehensive and unified approach to investigating the yield curve.
Specifically, we begin from scratch with the derivation of a formula for the yield curve within …

We present a simple expression for the sensitivity of duration, convexity, and higher-order
bond risk measures to changes in term-structure shape parameters. Our analysis enables …

This article studies a set of yield curve trading strategies that are based on the view that the
yield curve mean reverts to an unconditional curve. These mean-reverting trading strategies …

We test the efficiency of the US Treasury market by comparing the performance of two yield-
spread mean-reverting trades, a 'riding the yield curve'trade and a comparable strategy in …

Empirical studies report inconclusive assessment of duration-based immunization, notably
showing that more sophisticated strategies do not outperform immunization relying on …

Fisher separation theorem [TE Copeland, JF Weston, K. Shastri, Financial Theory and
Corporate Policy, fourth ed., Addison Wesley, New York, 2005] states that, in a perfect and …

En este trabajo ofrecemos una visión general y actualizada sobre diferentes estrategias de
negociación en activos de renta fija que hacen uso de la estructura temporal de tipos de …