{"product_id":"arbitrage-analysis-on-the-futures-forwards-interest-rate-markets-von-eva-kvasnickova","title":"Arbitrage analysis on the futures \u0026 forwards interest rate markets","description":"\u003cp\u003eWe 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.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783659339677\"\u003e\u003ch3\u003eConvexity adjustment approach in pre-crisis period\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783659339677","offer_id":39485320953949,"sku":"9783659339677","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/f88ea877-7269-40b2-81a1-2538d9d88e7b.jpg?v=1773381577","url":"https:\/\/shop.autorenwelt.de\/products\/arbitrage-analysis-on-the-futures-forwards-interest-rate-markets-von-eva-kvasnickova","provider":"Autorenwelt Shop","version":"1.0","type":"link"}