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Showing 1 to 2 of 2 for “"funding swap"”.
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ARBITRAGE STRATEGIES IN PERPETUAL FUTURES AND STOCK INDEX FUTURES
… futures, which track underlying prices through a funding swap mechanism. We show that the clamping function embedded in the mechanism—previously overlooked in the literature—creates inherent no-arbitrage bounds that persist even in the absence of transaction fees. Using two years of Binance data, …
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Multi-curve frameworks and information-based models
The distinction between bank funding cash and derivative markets were magnified in the aftermath of the 2008 global financial crisis, and further fortified by the need for reference rate reform post the Financial Stability Board's review of major interest benchmarks in 2014. The cognisance of …