---
title: Term Premia and Bond Convexity: Sliding Curves, Trading Strategies, and Model Impact
url: https://www.ml-quant.com/papers/ssrn/7687582/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-11-14
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7687582
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7687582
featured: 2026-11-13
citations: unknown
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7687582
- Identifier: SSRN 7687582
- Released: 2026-11-13
- First featured: Quant Letter No. 139 (2026-11-13): https://www.ml-quant.com/issues/2026-11-13/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Vladimir Piterbarg, Wouter Van der Helm

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