Equity volatility and corporate bond yields

Article Abstract:

Research shows that idiosyncratic corporate volatility is just as valid an explanation for cross-sectional variation in corporate bond yields as is credit ratings, which may explain recent yield increases. Findings were obtained from panel data from the late 1990s.

Yield (Investments)

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Hedging in the possible presence of unspanned stochastic volatility: evidence from swaption markets

Article Abstract:

Research indicates that London Interbank Offered Rate bonds can adequately hedge both swaptions and swaption straddles. Factors influencing swaption prices without influencing swap rates outside LIBOR bonds were found to be minor.

Management dynamics, Methods, Management, Company business management, Swaps (Finance)

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Unspanned stochastic volatility: evidence from hedging interest rate derivatives

Article Abstract:

A study examining structure models explaining hedging caps and cap straddles as well as at-the money straddle hedging-errors and its relation with cap-implied volatilities, is presented.

Interest Rates, Analysis

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