. 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 …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …

An emerging literature relies on an index of limits of arbitrage in fixed-income markets. We analyze the benefits of an … index that is model-free, robust and intuitive. This new index strengthens the evidence that limits of arbitrage proxy for … of arbitrage because it bypasses a noisy estimation step. Relative value indices in the US, the UK, Japan, Germany, Italy …