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  • Search: subject:"no-arbitrage valuation"
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Year of publication
Subject
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Arbitrage 1 CIP violations 1 Currency derivative 1 Interest rate derivative 1 Interest rate parity 1 Swap 1 Theorie 1 Theory 1 Währungsderivat 1 Yield curve 1 Zinsderivat 1 Zinsparität 1 Zinsstruktur 1 forwards 1 no-arbitrage valuation 1 swaps 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Augustin, Patrick 1 Chernov, Mikhail 1 Schmid, Lukas 1 Song, Dongho 1
Published in...
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Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP 1
Source
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ECONIS (ZBW) 1
Showing 1 - 1 of 1
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The Term Structure of Covered Interest Rate Parity Violations
Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2022
This working paper was written by Patrick Augustin (McGill University and Canadian Derivatives Institute), Mikhail Chernov (University of California Los Angeles, NBER and CEPR), Lukas Schmid (University of Southern California and CEPR) and Dongho Song (Johns Hopkins University).We show...
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