The Short End and the Long End. Yield Curves, Spot Rates, and Forward Rates

2010 ◽

Vol 13 (01) ◽

pp. 113-137 ◽

Cited By ~ 47

Author(s):

FABIO MERCURIO

Keyword(s):

Closed Form ◽

Stochastic Volatility ◽

Market Model ◽

New Paradigm ◽

Yield Curves ◽

Market Models ◽

Forward Rates ◽

Libor Market Model ◽

Market Practice ◽

Joint Evolution

We introduce an extended LIBOR market model that is compatible with the current market practice of building different yield curves for different tenors and for discounting. The new paradigm is based on modeling the joint evolution of FRA rates and forward rates belonging to the discount curve. We will start by analyzing the basic lognormal case, then we will add stochastic volatility. The dynamics of FRA rates under different measures will be obtained and closed form formulas for caplets and swaptions derived in the lognormal and Heston (1993) cases.

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Bonds, Forward Rates and Yield Curves

Deterministic and Stochastic Topics in Computational Finance ◽

10.1142/9789813203099_0004 ◽

2016 ◽

pp. 55-83

Keyword(s):

Yield Curves ◽

Forward Rates

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Modeling the green bond yield on bond offering

Finance and Credit ◽

10.24891/fc.26.12.2858 ◽

2020 ◽

Vol 26 (12) ◽

pp. 2858-2878

Author(s):

M.I. Emets

Keyword(s):

Linear Regression ◽

Yield Curve ◽

Bond Market ◽

Third Party ◽

Bond Pricing ◽

Market Development ◽

Fair Price ◽

Lower Yield ◽

Yield Curves ◽

Bond Yield

Subject. The article addresses the green bond pricing as compared to bonds other than green ones. Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing. Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds. Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification. Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

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Arbitrage Smoothing in Fitting a Sequence of Yield Curves

SSRN Electronic Journal ◽

10.2139/ssrn.1102120 ◽

2008 ◽

Author(s):

Paul A. Bekker ◽

Kees E. Bouwman

Keyword(s):

Yield Curves

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Long Maturity Forward Rates

SSRN Electronic Journal ◽

10.2139/ssrn.283728 ◽

2001 ◽

Author(s):

Charlotte Christiansen

Keyword(s):

Forward Rates

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Empirical Analysis and Forecasting of Multiple Yield Curves

SSRN Electronic Journal ◽

10.2139/ssrn.3311998 ◽

2019 ◽

Cited By ~ 1

Author(s):

Christoph Gerhart ◽

Eva Lütkebohmert

Keyword(s):

Empirical Analysis ◽

Yield Curves

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Bargaining, Yield Curves, and Wage Settlements: An Empirical Analysis

Journal of Political Economy ◽

10.1086/260193 ◽

1974 ◽

Vol 82 (2, Part 1) ◽

pp. 303-313 ◽

Cited By ~ 5

Author(s):

Yochanan Comay ◽

Arie Melnik ◽

Abraham Subotnik

Keyword(s):

Empirical Analysis ◽

Yield Curves

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Mathematical Modelling of Ultrasound-Assisted Extraction Kinetics of Bioactive Compounds from Artichoke By-Products

Foods ◽

10.3390/foods10050931 ◽

2021 ◽

Vol 10 (5) ◽

pp. 931

Author(s):

Cristina Reche ◽

Carmen Rosselló ◽

Mónica M. Umaña ◽

Valeria Eim ◽

Susana Simal

Keyword(s):

Power Density ◽

Bioactive Compounds ◽

Extraction Yield ◽

Total Phenolic ◽

Model Parameters ◽

Ultrasound Assisted Extraction ◽

Yield Curves ◽

Assisted Extraction ◽

Ultrasound Assisted ◽

Ultrasound Power

Valorization of an artichoke by-product, rich in bioactive compounds, by ultrasound-assisted extraction, is proposed. The extraction yield curves of total phenolic content (TPC) and chlorogenic acid content (CAC) in 20% ethanol (v/v) with agitation (100 rpm) and ultrasound (200 and 335 W/L) were determined at 25, 40, and 60 °C. A mathematical model considering simultaneous diffusion and convection is proposed to simulate the extraction curves and to quantify both temperature and ultrasound power density effects in terms of the model parameters variation. The effective diffusion coefficient exhibited temperature dependence (72% increase for TPC from 25 °C to 60 °C), whereas the external mass transfer coefficient and the equilibrium extraction yield depended on both temperature (72% and 90% increases for TPC from 25 to 60 °C) and ultrasound power density (26 and 51% increases for TPC from 0 (agitation) to 335 W/L). The model allowed the accurate curves simulation, the average mean relative error being 5.3 ± 2.6%. Thus, the need of considering two resistances in series to satisfactorily simulate the extraction yield curves could be related to the diffusion of the bioactive compound from inside the vegetable cells toward the intercellular volume and from there, to the liquid phase.

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