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Arbitrage-free relative Nelson-Siegel model
Ishii, Hokuto - In: Finance research letters 37 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012484986
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Essays in financial economics
Greenwood, Robin - 2002
Persistent link: https://www.econbiz.de/10003779960
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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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Bewertung bei Arbitragefreiheit und Ermittlung impliziter Zinserwartungen
Hampe, J. Oliver - 1998
Persistent link: https://www.econbiz.de/10000990375
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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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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
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A review of no arbitrage interest rate models
Buetow, Gerald W.; Fabozzi, Frank J.; Sochacki, James - In: Interest rate, term structure, and valuation modeling, (pp. 39-72). 2002
Persistent link: https://www.econbiz.de/10001734140
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Covered Interest Parity Arbitrage
Rime, Dagfinn - 2020
---both across banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented … using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP arbitrage … demand for dollar funding, by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to …
Persistent link: https://www.econbiz.de/10012854893
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Arbitrage and beliefs
Khorrami, Paymon; Zentefis, Alexander K. - 2020
exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …
Persistent link: https://www.econbiz.de/10012260973
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Impact of interest rate differential and exchange rate movement on the dynamics of Nigeria's international private capital flows
Karimo, Tari M. - In: CBN journal of applied statistics 11 (2020) 2, pp. 29-63
's international private capital flows from 2010Q1to 2019Q4. It uses the interest rate parity theory and the Markov Switching … opportunities for interestrate and currency arbitrage in Nigeria but using aggregate capital flows mask thisevidence. The study …
Persistent link: https://www.econbiz.de/10012513274