Lecture_06 - 6 Trading Strategies Arbitrage Opportunities...

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1 6 Trading Strategies, Arbitrage Opportunities, and Complete Markets A Motivation These are the basic concepts needed to develop the pricing and hedging methodology for fixed income securities and interest rate options. B Trading Strategies Intuitively, a trading strategy is a dynamic investment portfolio involving the traded zero- coupon bonds. Portfolio rebalancings can occur within the investment horizon and they are based on the information available at the time that the portfolio is rebalanced.
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