. 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 …

Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with … depressed convertible bond prices implying negative option values, some investors continued to buy strictly dominated straight … investment mandates thus create non-trivial segmentation within the corporate bond market …

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that … solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker than … classical absence of arbitrage opportunities. We center our analysis on this characterization of market viability and derive …

-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary … in their latency and whether they make or take market liquidity. All arbitrage robot traders we examine generate greater … conformity to the law-of-one-price across the twin markets. However, only the liquidity providing arbitrage robot trader moves …

arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …

in price dispersion. TRACE-associated decreases in crossfund bond mark dispersion provide indirect support for …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …