Global ETD Search
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Showing 1 to 3 of 3 for “"Arbitrage-free Pricing"”.
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The Martingale Approach to Financial Mathematics
… of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption alone, we stumble upon a strange new probability measure <em>Q</em>, according to which every risky asset is expected to grow as though it were a bond. As it turns out, this measure <em>Q</em> also gives …
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Implementing a filtered term structure model in the South African bond market
… Gombani, Jaschke and Runggaldier that defines an arbitrage free pricing system that is consistent with liquid bond prices. The model is derived in two stages called the underlying and perturbed models. The underlying model defines the theoretical arbitrage free term structure. It is assumed to be …
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The Performance Of Alternative Interest Rate Risk Measures And Immunization Strategies Under A Heath-Jarrow-Morton Framework
… (HJM) model represents the latest in powerful arbitrage-free technology for modeling the term structure and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square are still widely used in bond portfolio …