In the paper, author considers a new method for constructing the quasi-equilibrium thermodynamics of a system of ...

What CVOL Convexity Can Tell Us About Market Sentiment From cmegroup.com video CVOL convexity is the ratio of CVOL (implied 30-day forward volatility) divided by the market’s at-the-money implied ...

A study of 20,000 anxiety disorder patients shows how negativity bias affects brain structure, cognitive function and mental health, supporting the view that mental illness is brain illness.

Convexity adjustments à la Malliavin David García-Lorite and Raúl Merino Need to know A novel method based on Malliavin calculus is developed to approximate convexity adjustments in a general interest ...

Investors also hedge against negative MBS convexity by buying so-called "receivers" in the swaptions market, in which the buyer pays a premium for the right to receive a fixed rate on a swap.

These purchases are for "convexity" buying that helps offset the effects of mortgage refinancing to take advantage of lower interest rates. They could amplify the decline in Treasury yields that ...

NEW YORK (Reuters) -The recent drop in U.S. yields has raised speculation that a wave of buying of Treasury securities and derivative products called interest rate swaps by mortgage portfolio managers ...