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What is Statistical Arbitrage in Options Trading about?

This document summarizes a presentation on statistical arbitrage strategies based on no-arbitrage models. It discusses using these models to value derivative securities through replication rather than forecasting underlying cash flows. Dynamic term structure models are used to decompose interest rates and form portfolios with minimal exposure to persistent factors. Back-testing shows such strategies can predict and profit from short-term deviations between market prices and fair model values. Sovereign cred

Author

hannesrei

Language

EN