As an application of Geometric Arbitrage Theory, we apply the derived generator of consistent economic scenarios developed in (Farinelli 2008) to a set consisting of macroeconomic leading indicators, financial market , default probabilities and loss given default time series. The resulting...

The concept of a treasury for credit risks is introduced by means of the analogy with the ''classic'' case, namely the interest rate risks' one. The ''classic'' treasury hedges interest rate risks of the banking book by oversteering them by means of an off-balance sheet portfolio consisting of...

We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (2000), Leippold, Trojani and Vanini (2004, 2003) about the equivalence of the original...

On the theoretical side: we introduced the differential geometric framework to translate any market model into a principal fibre bundle allowing to interpret arbitrage as curvature, parameterizing arbitrage opportunities with the Lie Algebra of the holonomy group. The no arbitrage condition is...

We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to:bull; Write arbitrage as curvature of a principal fibre bundle.bull; Parameterize arbitrage strategies by its holonomy.bull; Give...