Книга: Eva Kvasnickova «Arbitrage analysis on the futures&forwards interest rate markets»
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Производитель: "LAP Lambert Academic Publishing" 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. ISBN:9783659339677 Издательство: "LAP Lambert Academic Publishing" (2013)
ISBN: 9783659339677 |
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