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Asset arbitrage and the price of oil
Arora, Vipin; Tyers, Rodney - 2011
Persistent link: https://www.econbiz.de/10009405791
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Asset Arbitrage and the Price of Oil
Arora, Vipin - 2011
asset arbitrage made a large contribution to the high pre-GFC oil price …
Persistent link: https://www.econbiz.de/10013122932
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Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading
Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23
. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …
Persistent link: https://www.econbiz.de/10012695328
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Weak time-derivatives and no arbitrage pricing
Marinacci, Massimo; Severino, Federico - 2017 - This version: December, 2017
Persistent link: https://www.econbiz.de/10011805855
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Arbitrage and the price of oil
Arora, Vipin - 2011
Persistent link: https://www.econbiz.de/10009012746
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Bond pricing when the short term interest rate follows a threshold process
Lemke, Wolfgang (contributor);  … - 2006
Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case …
Persistent link: https://www.econbiz.de/10003304940
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Non-negativity of nominal and real riskless rates, arbitrage theory, and the null-alternative cash
Nietert, Bernhard (contributor); Wilhelm, Jochen (contributor) - 2004
Persistent link: https://www.econbiz.de/10002147124
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Bond Pricing When the Short Term Interest Rate Follows a Threshold Process
Lemke, Wolfgang - 2016
Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case …
Persistent link: https://www.econbiz.de/10012991197
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Interest-Rate Risk Factor and Stock Returns : A Time-Varying Factor-Loadings Model
Huang, Peng - 2018
We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by firms in an attempt to reduce the pricing errors that the three-factor model cannot explain. These pricing errors are observed especially in small size and low book-to-market...
Persistent link: https://www.econbiz.de/10012931064
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Implementation of a One-Factor Markov-Functional Interest Rate Model
Truchot, Baptiste - 2016
The interest rate market has been expanding immensely for thirty years, both in term of volumes and diversity of traded contracts. The growing complexity of derivatives has implied a need for sophisticated models in order to price and hedge these products. Three main approaches can be...
Persistent link: https://www.econbiz.de/10012998946