The theory of interest rate arbitrage : review and extensions

Benedikt Dolf
The theory of interest rate arbitrage is the subject of this paper. Three objectives have guided the structure of the analysis. The first concerns the literature about interest arbitrage and the determination of the forward exchange rate. The contributions are numerous and diverse; a general consensus has not yet been reached. A critical survey of the literature is therefore undertaken with the aim of putting the various contributions into perspective. It is the contention underlying...
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