Technical Note on Local Time Risk Premiums in Parameterized Models of Interest-Rate Claims

33 Pages Posted: 27 Dec 2019

See all articles by Gurdip Bakshi

Gurdip Bakshi

Fox School of Business

John Crosby

University of Maryland - Robert H. Smith School of Business

Xiaohui Gao Bakshi

Fox School of Business, Temple University

Date Written: December 6, 2019

Abstract

This technical note serves to establish proofs for the list of statements in Bakshi, Crosby, and Gao (2019).

Keywords: Expected return of options on Treasury bond futures, unspanned components of pricing kernel, interest-rate models, Tanaka’s formula, local time risk premiums

JEL Classification: G10, G12

Suggested Citation

Bakshi, Gurdip S. and Crosby, John and Gao, Xiaohui, Technical Note on Local Time Risk Premiums in Parameterized Models of Interest-Rate Claims (December 6, 2019). Available at SSRN: https://ssrn.com/abstract=3499726 or http://dx.doi.org/10.2139/ssrn.3499726

Gurdip S. Bakshi

Fox School of Business ( email )

Department of Finance
Philadelphia, PA 19022
United States
215-204-6117 (Phone)
tuk40718@temple.edu (Fax)

HOME PAGE: http://https://sites.google.com/view/gurdipbakshi1

John Crosby (Contact Author)

University of Maryland - Robert H. Smith School of Business ( email )

College Park, MD 20742-1815
United States
+447979901892 (Phone)

HOME PAGE: http://www.john-crosby.co.uk/

Xiaohui Gao

Fox School of Business, Temple University ( email )

Philadelphia, PA 19122
United States

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