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Conversion factor risk and hedging in the treasury‐bond futures market · Study

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ArticleConversion factor risk and hedging in the treasury‐bond futures market

Alex A. Kane1984

Article1984

Conversion factor risk and hedging in the treasury‐bond futures market

Alex A. Kane · Alan J. Marcus

27 citations·0/0 files stored·Journal of Futures Markets

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Risk Management in Financial Firms Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1981The relation between forward prices and futures prices 1971Measuring the Term Structure of Interest Rates 1982Difference Systems in Financial Futures Markets

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1997Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market

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Year1984

Typearticle

Published1984-03-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations27

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1002/fut.3990040107

openalex_workW2033456067

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