Index
actual (realized) volatility
actuarial fair value, swap spreads
anchor points, function for yield curve
annualized volatility
arbitrage
cash and carry
government intervention, effect of
misrepresentation by politicians
net and gross bond basis
opportunities, search for
regulatory
see also no-arbitrage
Arrow, K.
asset&basis swaps
asset selection, PCA as tool for
ASW (asset swap margin)
equilibrium for bunds (low-risk bonds)
equilibrium with CCBS markets
equilibrium for JGBs (high-risk bonds)
model revisited
ATM (at-the-money) options
delta, gamma and theta
and delta hedging
segmentation of the volatility surface
ATMF (at-the-money-forward) options, volatility
breakeven levels
Austria
EMU exit probability
bandwidth parameter
banks
capital ...
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