Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/7362
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dc.contributor.authorJiang, Xiao Zhongen_US
dc.contributor.authorSun, Ji Chunen_US
dc.date.accessioned2008-09-18T07:44:27Z
dc.date.available2008-09-18T07:44:27Z
dc.date.copyright2000en_US
dc.date.issued2000
dc.identifier.urihttp://hdl.handle.net/10356/7362
dc.description.abstractThe US treasury bills, notes, and bonds are auctioned regularly. The newly auctioned treasury securities are actively traded, their prices being used as benchmarks. These securities gradually become less active, as new securities are auctioned. Thus majorities of treasury securities are not actively traded, and their listed prices are indicative only, may or may not reflect their market value. In this project we investigate the price discrepancies between active and non-active treasury bonds, making use of a newly developed interest rate term structure. The result indicates that off-the-run bonds and on-the-run bonds may have different dynamics. Therefore market factors have to be considered when pricing off-the-run bonds, apart from the arbitrage-free condition.en_US
dc.format.extent36 p.
dc.language.isoen
dc.rightsNanyang Technological Universityen_US
dc.subjectDRNTU::Business::Finance::Fixed income::Bonds
dc.titleInvestigation of inconsistency between active and non-active US-industry security quoteen_US
dc.typeThesisen_US
dc.contributor.supervisorGuo, Chenen_US
dc.contributor.schoolNanyang Business Schoolen_US
dc.description.degreeMaster of Science (Financial Engineering)en_US
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