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Arbitrage analysis on the futures & forwards interest rate markets


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description

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.

Product Specifications
SKU :COC67974
AuthorEva Kvasničková
Number of Pages76
Publishing Year2013-02-04T00:00:00.000
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00