Concept

Bond market index

Publications associées (18)

Asset life, leverage, and debt maturity matching

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Lausanne2024

Reinforcement bond performance in 3D concrete printing: Explainable ensemble learning augmented by deep generative adversarial networks

Xianlin Wang

Integrating various reinforcements into 3D concrete printing (3DCP) is an efficient method to satisfy critical requirements for structural applications. This paper explores an explainable ensemble machine learning (EML) method to predict the bond failure m ...

Amsterdam2023

Casting position effects on bond performance of reinforcement bars

Aurelio Muttoni, Miguel Fernández Ruiz, Francesco Rafael Alberto Moccia

The phenomena associated with the consolidation of fresh concrete (bleeding and plastic settlement) are commonly considered significant for the bond performance of reinforcement. However, rules to take care of such influence for design are not consistent a ...

ERNST & SOHN2021

Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...

Wiley2017

Bond behaviour of straight, hooked, U-shaped and headed bars in cracked concrete

Aurelio Muttoni, Miguel Fernández Ruiz, Duarte Miguel Viúla Faria, Fabio Brantschen

Most classic investigations on bonding properties in reinforced concrete have been performed on the basis of pull-out tests, where a reinforcement bar is pulled out from an uncracked concrete cylinder, prism or cube. In these tests, the bond is governed by ...

Thomas Telford2016

Pricing and hedging of inflation-indexed bonds in an affine framework

Damir Filipovic

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an afflne Gaussian process. Using the underlying affine property ...

Elsevier2014

Fatigue and Fracture of Adhesively-Bonded Composite Joints, 1st Edition

It is commonly accepted that the majority of engineering failures happen due to fatigue or fracture phenomena. Adhesive bonding is a prevailing joining technique, widely used for critical connections in composite structures. However, the lack of knowledge ...

Elsevier2014

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Loriano Mancini, Angelo Ranaldo

We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...

Wiley-Blackwell2013

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Doubly Stochastic CDO Term Structures

Damir Filipovic

This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the und ...

Birkhauser Boston, C/O Springer-Verlag, Service Center, 44 Hartz Way, Secaucus, Nj 07096-2491 Usa2011

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