Facoltà di scienze economiche

Essays on the term structure of interest rates

Cieslak, Anna ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO002.

This doctoral thesis focuses on fixed income markets exploring two essential questions in this area: (i) the risk compensation for holding Treasury bonds and (ii) the behavior of interest rate volatilities across different maturities. The objective is to understand the effect of changes in risk premia and in yield volatilities on bond prices, identify their economic drivers, and to propose... Plus

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    Summary
    This doctoral thesis focuses on fixed income markets exploring two essential questions in this area: (i) the risk compensation for holding Treasury bonds and (ii) the behavior of interest rate volatilities across different maturities. The objective is to understand the effect of changes in risk premia and in yield volatilities on bond prices, identify their economic drivers, and to propose new modeling approaches to accommodate these features.