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Anthony Morris, Global Head of Quantitative Strategies, Nomura International

Alpha Exchange

CHAPTER

Case Study: UBS and Deutsche Bank Launching Forward Rate Bias Products

This chapter discusses a case study from 2003 or 2004 involving UBS and Deutsche Bank launching products related to forward rate bias in interest rates. It explains how this case study motivated people to participate in quantitative investment strategies (QIS). The chapter explores the concept of the forward rate being higher than the associated interest rate and how it violated the expectations hypothesis.

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