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41 Estrategias sobre la Curva de Rendimientos: Butterfly trades

• Deutsche Bank. Fixed Income Weekly. Quantitative Strategies Series. Several papers 2002-2005

• Fabozzi, Frank J., Martinelli, L. y Priaulet, P. “Predictability in the shape of the term structure of interest rates”. The Journal of Fixed Income, June. 2005.

• Grieves, R. (1999). “Butterfly Trades”. Journal of Portfolio Management, Fall, p. 87-95

• Hagenstein, F y Bangemann, T. Active Fixed Income and Credit Management. (Palgrave, 2002)

• Hasque, Tarik. “How Profitable is the Butterfly Strategy in Australian Fixed Income Markets?”. The Finsia Journal of Applied Finance. Issue 3 (2009)

• Koichi Miyazaki. “Proposal of Practical Selection Criteria of Butterfly Trades”. Journal of the Japan Industrial Management Association, nº 54. (2003)

• Litterman, R, and Scheinkman J. “Common Factors Affecting Bond Returns”. Journal of Fixed Income, 1 (1). 1991

• Mann, S.V. and Ramanlal P. “The Relative Performance of Yield Curve Strategies”. Journal of Portfolio Management. Summer 1997.

• Martellini L, Priaulet P. and Priaulet, S. Fixed-income securities: valuation, risk management and portfolio strategies. John Wiley & Sons (2006)

• Martellini L, Priaulet P. and Priaulet, S. “Understanding the Butterfly Strategy”. CCF. Technical report, 2002-01.

• Vannerem, P. and Iyer, Anand. “Assessing Interest Rate Risk Beyond Duration – Shift, Twist, Butterfly”. Research