Sequential arbitrage measurements and interest rate envelopes

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dc.contributor.author Balbás, Alejandro
dc.contributor.author López, Susana
dc.date.accessioned 2012-04-10T16:51:18Z
dc.date.available 2012-04-10T16:51:18Z
dc.date.issued 2008-09
dc.identifier.bibliographicCitation Journal of Optimization Theory and Applications, 2008, v.138, nº 3, pp. 361-374
dc.identifier.issn 0022-3239
dc.identifier.uri http://hdl.handle.net/10016/14001
dc.description.abstract This paper proposes new measures that provide us with the level of sequential arbitrage in bond markets. All the measures vanish in an arbitrage-free market and all of them are positive otherwise. Each measure is generated by a dual pair of optimization problems. Primal problems permit us to compute optimal sequential arbitrage strategies, if available. Each dual problem generates a concrete proxy for the term structure of interest rates. The set of proxies allows us to obtain the exact market price of any bond and may measure several effects. For instance, the credit risk spread of nondefault free bonds, or the embedded option price of callable or extendible bonds. The developed theory has been tested empirically.
dc.description.sponsorship Research partially supported by Welzia Management SGIIC, RD_Sistemas, Comunidad Autónoma de Madrid (Spain), Grant s-0505/tic/000230, and MEyC (Spain), Grant SEJ2006-15401-C04-03
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Springer
dc.subject.other Portfolio optimization
dc.subject.other Sequential arbitrage measurements
dc.subject.other Term structure of interest rates
dc.subject.other Embedded option premiums
dc.title Sequential arbitrage measurements and interest rate envelopes
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1007/s10957-008-9391-5
dc.subject.eciencia Empresa
dc.identifier.doi 10.1007/s10957-008-9391-5
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 361
dc.identifier.publicationissue 3
dc.identifier.publicationlastpage 374
dc.identifier.publicationtitle Journal of Optimization Theory and Applications
dc.identifier.publicationvolume 138
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