Exploiting of fundamental interest rates inefficiency

Sergei Ivanov

MPRA Paper from University Library of Munich, Germany

Abstract: This article is a supplement to previously published paper [1]. It represents a theoretical example that demonstrates a strategy based on exploiting of found market inefficiency. It is fundamental. Thus, what markets without this inefficiency should be is an open question. It is connected to fluctuating interest rates. In original paper it was shown that in some cases they allow creation arbitrage strategies. However, it is possible to create such cases artificially.

Keywords: option pricing; futures; interest rates; market efficiency; arbitrage (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2014-03-20
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https://mpra.ub.uni-muenchen.de/54627/1/MPRA_paper_54627.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/59382/1/MPRA_paper_59382.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54627

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