A model of the convenience yields in on-the-run treasuries

Review of Derivatives Research

Volumn 7, Issue 2, 2004, Pages 79-97

  Cherian, Joseph A ^a   Jacquier, Eric ^b   Jarrow, Robert A ^c  

^a Banc of America Capital Management ^*  (United States)

^b HEC MONTRÉAL   (Canada)

^c The Samuel Curtis Johnson Graduate School of Management   (United States)

Author keywords

Bond pricing; Convenience yield; HJM model; Repurchase agreements; Term structure of interest rates

Indexed keywords

EID: 3042749804     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:REDR.0000031174.07795.51     Document Type: Article

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