Sequential arbitrage measurements and interest rate envelopes

DOI10.1007/S10957-008-9391-5zbMATH Open1159.91385OpenAlexW2149019310MaRDI QIDQ1014010FDOQ1014010

Authors: J. Martínez 

Publication date: 24 April 2009

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/14001

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zbMATH Keywords

portfolio optimizationterm structure of interest ratesembedded option premiumssequential arbitrage measurements

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Efficient hedging with coherent risk measure
• Optimality conditions in portfolio analysis with general deviation measures
• Projection pricing
• Pricing a nontradeable asset and its derivatives.
• The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.
• Arbitrage bounds for the term structure of interest rates

Cited In (4)

• Negative basis measurement: finding the holy scale
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• Deterministic regression model and visual basic code for optimal forecasting of financial time series
• A linear and nonlinear review of the arbitrage-free parity theory for the CDS and bond markets

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