Interest rate derivatives The CMS triangle arbitrage A dislocation between options on constant maturity swap rates and spreads in 2009 led to a static arbitrage opportunity. Here, the author shows how this can be detected, and how a copula-based model strategy can exploit it.
| Year of publication: |
2011
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|---|---|
| Authors: | McCloud, Paul |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 1, p. 126-132
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