We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Derivatives such as futures contracts on Treasury bonds (T-bonds) anci notes are tailorniade
for hedging interest-rate risk, and in priticiple, computation of an optimal hedge ratio should …

Using Treasury bond and note futures to hedge fixed‐income portfolios is complicated by
the large number of bonds that are eligible to deliver against the contract. Grieves and …

This paper analyzes the delivery behavior observed in the CBOT T‐Bond futures market
over the period spanning 1985–2016 in order to assess how timing decisions were made …

The recent disappearance of a five-year maturity gap from the set of bonds deliverable to the
Chicago Board of Trade Treasury bond futures has resulted in a distinctive configuration …

In early 2001, the US Department of the Treasury suspended the issuance of 30-year bonds,
and then resumed issuing its long paper in early 2006. As a result, there was a 5-year gap in …