Exploiting of fundamental interest rates inefficiency

Ivanov, Sergei (2014): Exploiting of fundamental interest rates inefficiency.

Abstract

This article is a supplement to previously published paper [1]. It represents a theoretical example that demonstrates a strategy based on exploiting of found market inefficiency. It is fundamental. Thus, what markets without this inefficiency should be is an open question. It is connected to fluctuating interest rates. In original paper it was shown that in some cases they allow creation arbitrage strategies. However, it is possible to create such cases artificially.

• Item Type: MPRA Paper
• Language: English
• Keywords: option pricing, futures, interest rates, market efficiency, arbitrage
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

References

Ivanov, Sergei A. (2014) Implied-in-prices expectations: Their role in arbitrage. AAPP | Physical, Mathematical, and Natural Sciences, vol. 92, Sl, B1. doi:10.1478/AAPP.92S1B1.