Term Premia and Bond Convexity: Sliding Curves, Trading Strategies, and Model Impact
The paper derives term premia and convexity from rebalancing strategies rather than theory, showing that volatility smile materially affects convexity value and linking the result to empirical swap estimates.
Featured in No. 139 on 13 Nov 2026 · on release day
- Released
- 13 Nov 2026
- First featured
- No. 139 · 13 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7687582
- Authors
- Vladimir Piterbarg and Wouter Van der Helm
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).