Tid: 15 oktober 2001 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Michael Hemph. Bild.
Titel: Bond trading strategies based on Term Structure Models. (Examensarbete)
Sammanfattning:
The term structure of interest rates describes the relationship between the length of a fixed income investment and the yield of the investment. The Svensson model is used to characterize the term structure over time. A risk-hedging construction, the barbell portfolio, is used to exploit statistical deviations between market quotes and prices implied by the model. Using simple rules based on the assumption that trading on the deviation reverting to its mean is profitable, historical data are analysed. For typical parameters the average result is weakly positive, 0.79 +/- 0.11 units per unit of risk invested. The impact of some parameters is studied briefly, indicating that the assumption holds.