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The TIPS Liquidity Premium
Jens H.E. Christensen / Martin M. Andreasen / Simon Riddell
fixed income / interest ratesResource overview

The TIPS Liquidity Premium

Paper2017

by Jens H.E. Christensen, Martin M. Andreasen, Simon Riddell

Tags
fixed incomeinterest ratesliquidity riskterm structure models

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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