Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology

A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method

Authors
Susheng Wang, Yongrui Yu, Huimin Liu
Corresponding Author
Susheng Wang
Available Online November 2015.
DOI
10.2991/emeeit-15.2015.62How to use a DOI?
Keywords
treasury bond futures; holding cost method; CTD bond
Abstract

5-year and 10-year term treasury bond futures were launched officially in September 6, 2013 and March 20, 2015, marking the interest rate futures re-board the stage of history. Academic study of treasury bond futures gradually becomes a hot issue, this article describes the difficult and hot issues at home and abroad from the aspects of futures pricing theory, the relationship between the spot and arbitrage.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology
Series
Advances in Computer Science Research
Publication Date
November 2015
ISBN
10.2991/emeeit-15.2015.62
ISSN
2352-538X
DOI
10.2991/emeeit-15.2015.62How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Susheng Wang
AU  - Yongrui Yu
AU  - Huimin Liu
PY  - 2015/11
DA  - 2015/11
TI  - A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method
BT  - Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology
PB  - Atlantis Press
SP  - 309
EP  - 315
SN  - 2352-538X
UR  - https://doi.org/10.2991/emeeit-15.2015.62
DO  - 10.2991/emeeit-15.2015.62
ID  - Wang2015/11
ER  -