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Coupon Bonds, Macaulay Duration, Convexity & Replication Arbitrage

Andrew LoDistinguishedMIT

Professor of Finance

1:19:19·2013·graduate level

Shows how linear algebra (replicating portfolios of coupon bonds) exposes riskless arbitrage when market prices violate spot-rate consistency.

EconomicsFinancial Theory & MarketsDistributed SystemsLinear AlgebraBond Duration

MIT 15.401 Finance Theory I, Fall 2008

Source: MIT OpenCourseWare via YouTubeWatch on YouTube
LecturerAll lecturers →
Andrew LoDistinguished

Charles E. and Susan T. Harris Professor of Finance, MIT Sloan

MIT Sloan Professor of Finance and Director of the MIT Laboratory for Financial Engineering, originator of the Adaptive Markets Hypothesis.

1 course · 20 lecturesCanon
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Inflation, Term Structure of Interest Rates & Fixed-Income Securities

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Fixed-Income Securities III

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