Exploiting of fundamental interest rates inefficiency

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.

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Year of publication:	2014-03-20
Authors:	Ivanov, Sergei
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	option pricing \| futures \| interest rates \| market efficiency \| arbitrage

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011110254