• Risk and return characteristics of the swap spread arbitrage strategy 

      Tabbech, Adrian Gullvåg; Engelsgjerd, Kjetil (Master thesis, 2019)
      We conduct a study on the risk and return characteristics of the swap spread arbitrage strategy. Specifically, we investigate the two-year, three-year, five-year, seven-year, ten-year, and an equally-weighted swap spread ...