Post by Sapphire Capital on Mar 27, 2016 9:35:12 GMT 4
a good article on theory
Arbitrage Theory: Quantitative Methods
Rossano Giandomenico Independent
March 17, 2016
Abstract: The study treats in a rigorous way the European and American options till Asian and Barrier options. Structural model in first passage time is also treated with its applications to the asset liability management with implications for the duration measure of liabilities. Intensity model and interest rate model are also presented in arbitrage setting able to calibrate effective yields curve in normal condition along the relation between Cap, Floor and Swap. Portfolio optimization is also analyzed in Black, Litterman model.
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