Arbitrage analysis on the futures & forwards interest rate markets

We introduce probabilistic stochastic interest rate models in continuous time. For selected models we discuss the difference between forward and futures interest rates; convexity adjustment. In the final part of the study, we analyze the arbitrage existence between interest rates and currency exchange rates (evaluated on Ho-Lee model). Due to high sensitivity of convexity adjustment to the applied time series stability, we investigate the equilibrium in the pre-crisis period.

Autorentext

Eva Kvasni ková has graduated in probability theory & statistics at Charles University in Prague, afterwards worked as an insurance mathematician in PriceWaterhouseCoopers Slovakia. She works currently as research-teaching assistant and PhD student at Tor Vergata University in Rome, focusing on field of socially responsible investment optimization.