Arbitrage analysis on the futures & forwards interest rate markets
Convexity adjustment approach in pre-crisis period
(Sprache: Englisch)
We introduce probabilistic stochastic interest rate models in continuous time. For selected models we discuss the difference between forward and futures interest rates; convexity adjustment. In the final part of the study, we analyze the arbitrage existence...
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We introduce probabilistic stochastic interest rate models in continuous time. For selected models we discuss the difference between forward and futures interest rates; convexity adjustment. In the final part of the study, we analyze the arbitrage existence between interest rates and currency exchange rates (evaluated on Ho-Lee model). Due to high sensitivity of convexity adjustment to the applied time series stability, we investigate the equilibrium in the pre-crisis period.
Bibliographische Angaben
- Autor: Eva Kvasni ková
- 2013, 76 Seiten, Masse: 22 cm, Kartoniert (TB), Englisch
- Verlag: LAP Lambert Academic Publishing
- ISBN-10: 3659339679
- ISBN-13: 9783659339677
Sprache:
Englisch
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