The efficiency of the Estr overnight index swap market
Year of publication: |
2024
|
---|---|
Authors: | Realdon, Marco |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1873-0612, ZDB-ID 2020265-9. - Vol. 91.2024, Art.-No. 101943, p. 1-16
|
Subject: | Affine pricing models | Delta-hedging | Estr overnight index swaps | Market-neutral arbitrage portfolios | Pricing errors | Transaction costs | Theorie | Theory | Swap | Transaktionskosten | Arbitrage | Portfolio-Management | Portfolio selection |
-
No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R., (2015)
-
Bouchard, Bruno, (2013)
-
FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn, (2014)
- More ...
-
Book values and market values of equity and debt
Realdon, Marco, (2006)
-
Equity valuation under stochastic rates
Realdon, Marco, (2006)
-
Credit default swap rates and stock prices
Realdon, Marco, (2008)
- More ...