Ivanov, Sergei (2014): Exploiting of interest rates fundamental inefficiency.
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Abstract
This article is a supplement to previously published paper [1]. It describes a paradox, which shows that arbitrage opportunities almost always exist. Markets that do not allow such opportunities differ from current significantly.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Exploiting of interest rates fundamental inefficiency |
| Language: | English |
| Keywords: | options, forwards, interest rates, market efficiency, arbitrage |
| Subjects: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics G - Financial Economics > G1 - General Financial Markets > G10 - General G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates |
| Item ID: | 59382 |
| Depositing User: | Mr. Sergei Ivanov |
| Date Deposited: | 20 Oct 2014 15:52 |
| Last Modified: | 17 Oct 2019 03:24 |
| 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. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/59382 |
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Exploiting of fundamental interest rates inefficiency. (deposited 23 Mar 2014 14:58)
- Exploiting of interest rates fundamental inefficiency. (deposited 20 Oct 2014 15:52) [Currently Displayed]
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