Free Book Online
Book Arbitrage analysis on the futures and forwards interest rate markets: Convexity adjustment approach in pre-crisis period

Pdf

Arbitrage analysis on the futures and forwards interest rate markets: Convexity adjustment approach in pre-crisis period

4.2 (4210)

Log in to rate this item

    Available in PDF - DJVU Format | Arbitrage analysis on the futures and forwards interest rate markets: Convexity adjustment approach in pre-crisis period.pdf | Language: ENGLISH
    Eva Kvasničková (Author)

    Book details


We introduce probabilistic stochastic interest rate models in continuous time. For selected models we discuss the difference between forward and futures interest rates: convexity adjustment. In the final part of the study, we analyze the arbitrage existence between interest rates and currency exchange rates (evaluated on Ho-Lee model). Due to high sensitivity of convexity adjustment to the applied time series stability, we investigate the equilibrium in the pre-crisis period.
4.2 (12627)
  • Pdf

*An electronic version of a printed book that can be read on a computer or handheld device designed specifically for this purpose.

Formats for this Ebook

PDF
Required Software Any PDF Reader, Apple Preview
Supported Devices Windows PC/PocketPC, Mac OS, Linux OS, Apple iPhone/iPod Touch.
# of Devices Unlimited
Flowing Text / Pages Pages
Printable? Yes

Book details

  • PDF | 76 pages
  • Eva Kvasničková (Author)
  • LAP LAMBERT Academic Publishing (4 Feb. 2013)
  • English
  • 6
  • Science Nature

Read online or download a free book: Arbitrage analysis on the futures and forwards interest rate markets: Convexity adjustment approach in pre-crisis period

 

Review Text


Name:
Email*:
The message text*: