Investigation of inconsistency between active and non-active US-industry security quote
The US treasury bills, notes, and bonds are auctioned regularly. The newly auctioned treasury securities are actively traded, their prices being used as benchmarks. These securities gradually become less active, as new securities are auctioned. Thus majorities of treasury securities are not actively...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7362 |
| _version_ | 1811677024558776320 |
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| author | Jiang, Xiao Zhong Sun, Ji Chun |
| author2 | Guo, Chen |
| author_facet | Guo, Chen Jiang, Xiao Zhong Sun, Ji Chun |
| author_sort | Jiang, Xiao Zhong |
| collection | NTU |
| description | The US treasury bills, notes, and bonds are auctioned regularly. The newly auctioned treasury securities are actively traded, their prices being used as benchmarks. These securities gradually become less active, as new securities are auctioned. Thus majorities of treasury securities are not actively traded, and their listed prices are indicative only, may or may not reflect their market value. In this project we investigate the price discrepancies between active and non-active treasury bonds, making use of a newly developed interest rate term structure. The result indicates that off-the-run bonds and on-the-run bonds may have different dynamics. Therefore market factors have to be considered when pricing off-the-run bonds, apart from the arbitrage-free condition. |
| first_indexed | 2024-10-01T02:30:47Z |
| format | Thesis |
| id | ntu-10356/7362 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:30:47Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/73622024-01-12T10:08:52Z Investigation of inconsistency between active and non-active US-industry security quote Jiang, Xiao Zhong Sun, Ji Chun Guo, Chen Nanyang Business School DRNTU::Business::Finance::Fixed income::Bonds The US treasury bills, notes, and bonds are auctioned regularly. The newly auctioned treasury securities are actively traded, their prices being used as benchmarks. These securities gradually become less active, as new securities are auctioned. Thus majorities of treasury securities are not actively traded, and their listed prices are indicative only, may or may not reflect their market value. In this project we investigate the price discrepancies between active and non-active treasury bonds, making use of a newly developed interest rate term structure. The result indicates that off-the-run bonds and on-the-run bonds may have different dynamics. Therefore market factors have to be considered when pricing off-the-run bonds, apart from the arbitrage-free condition. Master of Science (Financial Engineering) 2008-09-18T07:44:27Z 2008-09-18T07:44:27Z 2000 2000 Thesis http://hdl.handle.net/10356/7362 en Nanyang Technological University 36 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Fixed income::Bonds Jiang, Xiao Zhong Sun, Ji Chun Investigation of inconsistency between active and non-active US-industry security quote |
| title | Investigation of inconsistency between active and non-active US-industry security quote |
| title_full | Investigation of inconsistency between active and non-active US-industry security quote |
| title_fullStr | Investigation of inconsistency between active and non-active US-industry security quote |
| title_full_unstemmed | Investigation of inconsistency between active and non-active US-industry security quote |
| title_short | Investigation of inconsistency between active and non-active US-industry security quote |
| title_sort | investigation of inconsistency between active and non active us industry security quote |
| topic | DRNTU::Business::Finance::Fixed income::Bonds |
| url | http://hdl.handle.net/10356/7362 |
| work_keys_str_mv | AT jiangxiaozhong investigationofinconsistencybetweenactiveandnonactiveusindustrysecurityquote AT sunjichun investigationofinconsistencybetweenactiveandnonactiveusindustrysecurityquote |