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asset pricing

Markets

A technical primer on short rate models and interest rate derivatives pricing

Download PDF Introduction Short-rate martingale models were among the first approaches to the modelling of interest rate term structures, providing a flexible framework for pricing fixed-income securities and interest rate derivatives. These models describe the evolution of the continuous short rate as a stochastic process and are widely used in Read more…

By BSIC, 2 months6 April 2025 ago
Markets

WHAT DRIVES CREDIT? Understanding the Cross Section of Expected Corporate Bond Returns

Download PDF Abstract While the literature investigating risk premia driving the cross section of stock returns is extensive, fewer studies analyze corporate bond returns. We set out to understand which factors and firm characteristics command a premium in terms of expected returns on corporate bonds, both in the investment grade Read more…

By BSIC, 3 years10 April 2022 ago

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