Sequential arbitrage measurements and interest rate envelopes

DOI10.1007/S10957-008-9391-5zbMath1159.91385OpenAlexW2149019310MaRDI QIDQ1014010

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

term structure of interest ratesportfolio optimizationembedded option premiumssequential arbitrage measurements

Mathematics Subject Classification ID

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

Related Items (1)

Deterministic regression model and visual basic code for optimal forecasting of financial time series

Cites Work

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

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