This paper derives domain restrictions on interest rates implied by no-arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling
www.eprg.group.cam.ac.uk Price discrimination and limits to arbitrage in global LNG market
We examine how non-competitiveness in financial markets affects the choice of asset portfolios and t...
Abstract This paper develops a model in which arbitrageurs are collectively unconstrained, but may s...
This paper derives domain restrictions on interest rates implied by no-arbitrage. These restrictions...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a ...
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a ...
Interest rate futures are basic securities and at the same time highly liquid traded objects. Despit...
Abstract There is an extensive literature claiming that it is often difficult to make use of arbitra...
International audienceThis note deals with criteria of absence of arbitrage opportunities for an inv...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
It is shown by example and by analytic argument that the no-arbitrage bounds can be narrowed by ruli...
No-arbitrage restrictions, Term structure of interest rates, Interest rate futures, Change of measur...
ABSTRACT. Real prices are created on markets by supply and demand and they do not have to follow som...
I examine the impact of the no arbitrage restriction on the estimation and evaluation of linear fac-...
www.eprg.group.cam.ac.uk Price discrimination and limits to arbitrage in global LNG market
We examine how non-competitiveness in financial markets affects the choice of asset portfolios and t...
Abstract This paper develops a model in which arbitrageurs are collectively unconstrained, but may s...
This paper derives domain restrictions on interest rates implied by no-arbitrage. These restrictions...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a ...
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a ...
Interest rate futures are basic securities and at the same time highly liquid traded objects. Despit...
Abstract There is an extensive literature claiming that it is often difficult to make use of arbitra...
International audienceThis note deals with criteria of absence of arbitrage opportunities for an inv...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
It is shown by example and by analytic argument that the no-arbitrage bounds can be narrowed by ruli...
No-arbitrage restrictions, Term structure of interest rates, Interest rate futures, Change of measur...
ABSTRACT. Real prices are created on markets by supply and demand and they do not have to follow som...
I examine the impact of the no arbitrage restriction on the estimation and evaluation of linear fac-...
www.eprg.group.cam.ac.uk Price discrimination and limits to arbitrage in global LNG market
We examine how non-competitiveness in financial markets affects the choice of asset portfolios and t...
Abstract This paper develops a model in which arbitrageurs are collectively unconstrained, but may s...
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