no code implementations • 10 Apr 2023 • Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates.
no code implementations • 28 Jun 2020 • Claudio Fontana, Wolfgang J. Runggaldier
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints.