Sound deposit insurance pricing using a machine learning approach... The process of removing the static risk is as follows: Using a machine learning approach with a regularized cost function, we update the parameters in such a way that butterfly arbitrage is ruled out and also implementing a calibration method, we make some conditions on the parameters of each time slice to rule out calendar spread arbitrage....
Sound deposit insurance pricing using a machine learning approach... The process of removing the static risk is as follows: Using a machine learning approach with a regularized cost function, we update the parameters in such a way that butterfly arbitrage is ruled out and also implementing a calibration method, we make some conditions on the parameters of each time slice to rule out calendar spread arbitrage....
Fixed-income arbitrage strategies: swap spread arbitrage and yield curve arbitrage... This master’s thesis studies two of these specific fixed-income arbitrage strategies: Swap Spread Arbitrage and Yield Curve Arbitrage....
Soybean futures crush spread arbitrage: trading strategies and market efficiencyThis paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider variety of entry and exit limits, and the risk-return relationship between entry and exit limits....
