Instructor: Matthias Fleckenstein, mflecken@udel.edu
Class Times: June 19, 2024, 3.00pm-5.00pm; June 20, 2023, 9.00am-11.00am
Class Location: Geltzeiler Trading Center
The largest arbitrage ever documented...
In this series of lectures we discuss a persistent violation of the law of one price that occured in the multi-trillion dollar U.S. Treasury bond market, one of the largest and most liquid financial markets in the world. We first give an introduction to the U.S. Treasury market and cover the basics of bond pricing. Then, we discuss how the prices of TIPS and Treasury notes/bonds are related via the law of one price. We analyze the nature of the violation of the law of one price that occured in the U.S. Treasury bond and Treasury Inflation-Protected Securities (TIPS) markets and discuss how hedge funds took advantage of this "arbitrage" opportunity.
Introduction
The U.S. Treasury Market
Treasury Market Conventions
The TIPS-Treasury Trading Strategy
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Copyright 2024 Matthias Fleckenstein, University of Delaware, Lerner College of Business & Economics, mflecken@udel.edu
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Last modified: June 18, 2024. Website built with Franklin.jl and the Julia programming language.