Autorenfreundlich Bücher kaufen?!
Beschreibung
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.
Convexity adjustment approach in pre-crisis period
Details
| Verlag | LAP LAMBERT Academic Publishing |
| Ersterscheinung | 04. Februar 2013 |
| Maße | 22 cm x 15 cm x 0.6 cm |
| Gewicht | 131 Gramm |
| Format | Softcover |
| ISBN-13 | 9783659339677 |
| Seiten | 76 |
Schlagwörter
Bekannt durch
