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https://hdl.handle.net/10356/7793| Title: | Convexity arbitrage in swap futures. | Authors: | Wong, Thian Boon. | Keywords: | DRNTU::Business::Finance::Futures | Issue Date: | 2002 | Abstract: | 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. | URI: | http://hdl.handle.net/10356/7793 | Schools: | Nanyang Business School | Rights: | Nanyang Technological University | Fulltext Permission: | restricted | Fulltext Availability: | With Fulltext |
| Appears in Collections: | NBS Theses |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS-THESES_694.pdf Restricted Access | 604.44 kB | Adobe PDF | View/Open |
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