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Back to Basis: Recent Evidence on Arbitrage Strategies and Interest Rate Derivatives

Goldaman, Angelica; Holmedal, Daniel
Master thesis
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URI
http://hdl.handle.net/11250/2626338
Date
2019
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  • Master of Science [1530]
Abstract
We examine near-arbitrage strategies in the market for interest rate

derivatives. Using futures and forward rate agreements, we construct replication

portfolios that match cash flows of vanilla interest rate swaps. Standard

arbitrage theory suggests that the difference, or basis, between swap

rates implied from futures and forward rate agreements and the market

swap rate should be close to zero. Despite being some of the largest and

most liquid markets in the world, we find mispricings using both futures

and forward rate agreements.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance/ Master of Science in Business, Finance and QTEM - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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