No-Arbitrage Matrices of Exchange Rates: Characterizations and Applications - W.L. Maldonado 30/01/2020 Recerca i transferència Seminari
CoDa-seminar: No-Arbitrage Matrices of Exchange Rates: Characterizations and Applications Abstract: We will say that there exists triangular arbitrage in a group of currencies if buying and selling them at their spot exchange rates it is possible to make profits without cost. In this work we present several characterizations of matrices where such triangular arbitrage is avoided and provide some applications for the currencies: Brazilian Real, Euro, Pound Sterling and the US dollar. Wilfredo Leiva Maldonado — Full Professor at the Federal University of Goiás — Research Associate at the University of Brasília — Visiting Professor, Department Computer Science, Applied Mathematics and Statistics, University of Girona, Spain