Modeling

Markets

A Primer on Yield Curve Construction

Download PDF Introduction A yield curve depicts the returns of fixed income securities against their term, or time to maturity. In this article, we explain the role that the discount function and forward rates have in the creation of a yield curve and compare different methodologies to fit the yield Read more…

By BSIC, 2 months1 month ago

Markets

Modeling Asset Correlation: Theory and Practice

Download PDF Introduction Correlation is a pervasive concept in financial markets. It is studied by investors looking for the most reliable way to hedge their exposure while financial products that offer a directional correlation exposure also became substantially more liquid in recent years. Moreover, the substantial mispricing of correlation risk Read more…

By BSIC, 2 months2 months ago

Markets

A Primer on Yield Curve Construction

Markets

Modeling Asset Correlation: Theory and Practice

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