This article is the first in Trading the Network, a seven-part series investigating whether relationships across financial assets contain predictive information that can ultimately be converted into tradable signals. Part I establishes the baseline by asking whether a simple network of historical return correlations
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…
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…