Convexity arbitrage in swap futures.
In this study, transactional tick data on 3-Month Euribor futures and 2-Year Swapnote futures, from the period 21 March to 17 Dec 2001, was used to analyze the effects of convexity bias in the pricing of Swapnote futures and explore possible convexity arbitrage opportunities.
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10356/7793 |
| _version_ | 1826111410800689152 |
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| author | Wong, Thian Boon. |
| author2 | Low, Buen Sin |
| author_facet | Low, Buen Sin Wong, Thian Boon. |
| author_sort | Wong, Thian Boon. |
| collection | NTU |
| description | In this study, transactional tick data on 3-Month Euribor futures and 2-Year Swapnote futures, from the period 21 March to 17 Dec 2001, was used to analyze the effects of convexity bias in the pricing of Swapnote futures and explore possible convexity arbitrage opportunities. |
| first_indexed | 2024-10-01T02:50:15Z |
| format | Thesis |
| id | ntu-10356/7793 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:50:15Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/77932024-01-12T10:09:40Z Convexity arbitrage in swap futures. Wong, Thian Boon. Low, Buen Sin Nanyang Business School DRNTU::Business::Finance::Futures In this study, transactional tick data on 3-Month Euribor futures and 2-Year Swapnote futures, from the period 21 March to 17 Dec 2001, was used to analyze the effects of convexity bias in the pricing of Swapnote futures and explore possible convexity arbitrage opportunities. Master of Science (Financial Engineering) 2008-09-18T07:51:22Z 2008-09-18T07:51:22Z 2002 2002 Thesis http://hdl.handle.net/10356/7793 en Nanyang Technological University 35 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Futures Wong, Thian Boon. Convexity arbitrage in swap futures. |
| title | Convexity arbitrage in swap futures. |
| title_full | Convexity arbitrage in swap futures. |
| title_fullStr | Convexity arbitrage in swap futures. |
| title_full_unstemmed | Convexity arbitrage in swap futures. |
| title_short | Convexity arbitrage in swap futures. |
| title_sort | convexity arbitrage in swap futures |
| topic | DRNTU::Business::Finance::Futures |
| url | http://hdl.handle.net/10356/7793 |
| work_keys_str_mv | AT wongthianboon convexityarbitrageinswapfutures |