maturity arbitrage


maturity arbitrage

maturity arbitrage см. time arbitrage


Финансы и долги. — М.: Весь мир. 1997.

Смотреть что такое "maturity arbitrage" в других словарях:

  • Arbitrage — For the upcoming film, see Arbitrage (film). Not to be confused with Arbitration. In economics and finance, arbitrage (IPA: /ˈɑrbɨtrɑːʒ/) is the practice of taking advantage of a price difference between two or more markets: striking a… …   Wikipedia

  • Municipal Bond Arbitrage — Municipal bond arbitrage, also called municipal bond relative value arbitrage, municipal arbitrage, or just muni arb, generally consists of building a leveraged portfolio of high quality, tax exempt municipal bonds and simultaneously hedging the… …   Wikipedia

  • Municipal bond arbitrage — Municipal bond arbitrage, also called municipal bond relative value arbitrage, municipal arbitrage, or just muni arb, generally consists of building a leveraged portfolio of high quality, tax exempt municipal bonds and simultaneously hedging the… …   Wikipedia

  • Municipal Bond Arbitrage — A strategy that consists of building a portfolio of tax exempt municipal bonds and simultaneously hedging the duration risk of the portfolio through the short sale of equivalent taxable corporate bonds of the same maturity, generally interest… …   Investment dictionary

  • Uncovered interest arbitrage — is a form of arbitrage where funds are transferred abroad to take advantage of higher interest in foreign monetary centers. It involves the conversion of the domestic currency to the foreign currency to make investment; and subsequent re… …   Wikipedia

  • Reverse Cash-and-Carry-Arbitrage — A combination of a short position in an asset such as a stock or commodity, and a long position in the futures for that asset. Reverse cash and carry arbitrage seeks to exploit pricing inefficiencies for the same asset in the cash (or spot) and… …   Investment dictionary

  • Credit default swap — If the reference bond performs without default, the protection buyer pays quarterly payments to the seller until maturity …   Wikipedia

  • Forward contract — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • Rational pricing — is the assumption in financial economics that asset prices (and hence asset pricing models) will reflect the arbitrage free price of the asset as any deviation from this price will be arbitraged away . This assumption is useful in pricing fixed… …   Wikipedia

  • Derivative (finance) — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia

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