Sequential arbitrage measurements and interest rate envelopes

DOI10.1007/S10957-008-9391-5MaRDI QIDQ1014010zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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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