Convexity arbitrage in swap futures.
Wong, Thian Boon.
Date of Issue2002
College of Business (Nanyang Business School)
In this study, transactional tick data on 3-Month Euribor futures and 2-Year Swapnote futures, from the period 21 March to 17 Dec 2001, was used to analyze the effects of convexity bias in the pricing of Swapnote futures and explore possible convexity arbitrage opportunities.
Nanyang Technological University