asset arbitrage made a large contribution to the high pre-GFC oil price. …

asset arbitrage made a large contribution to the high pre-GFC oil price …

. 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 …

Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case …