Forthcoming and Online First Articles

International Journal of Bonds and Derivatives

International Journal of Bonds and Derivatives (IJBD)

Forthcoming articles have been peer-reviewed and accepted for publication but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.

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International Journal of Bonds and Derivatives (2 papers in press)

Regular Issues

  • Equilibrium Interest Rate Models for the Indian Government Security Market   Order a copy of this article
    by Sunrita Chaudhuri, Alok Pandey 
    Abstract: Post the financial sector reforms of the 1990s, increasingly, interest rates in the debt segment are being determined by the market. Active participants in the debt market, therefore, need to use appropriate models to ensure fair pricing of interest rate related products and their derivatives. The two most widely used equilibrium models are Vasicek and Cox Ingersoll and Ross Model. This study estimates the parameters of the Vasicek and Cox and Ingersoll and Ross model using 91Days T-Bills data from the Indian market. Thereafter the term structure of interest rates is simulated for future periods. Finally the model parameters are used to price interest rate related instruments and derivative instruments.
    Keywords: Vasicek Model; Cox Ingersoll and Ross Model; ; Calibration; Maximum Likelihood Estimation; OLS; Pricing of Interest Rate Options.
    DOI: 10.1504/IJBD.2021.10045292
  • The dynamic relationship between the bond and CDS markets of emerging countries: Copula-GARCH   Order a copy of this article
    by Imen Daoued, Mohamed Imen Gallali 
    Abstract: This paper examines the interaction between sovereign bond credit spreads and CDS premiums. We use ARDL models to test whether there is a long-run equilibrium relationship between the variables, using daily data for the period October 2008 to November 2016 for 22 emerging market countries. To analyze the validity of the results of the Granger causality test, a test of the static copula model was applied to measure the interdependence of the variables. The empirical literature on copula and their use in financial dependence is extensive (see Joe H., Li H., Nikololopoulos (2012)), and they provide a new, alternative measurement technique.
    Keywords: ARDL-ECM • Lead-lag • Statics Copula • Sovereign Bond Credit SPREADS• CDS premiums. Price discovery. Emerging Markets. Flight to quality. Basis CDS-BCS. Positive base. Negative base. Arbitrage. The unidirectional relationship. The bidirectional relationship.