搜索结果: 16-30 共查到“经济学 Arbitrage”相关记录39条 . 查询时间(0.095 秒)
Free Lunch: Arbitrage Profits Associated with Credit Cards
presents information credit card availability of arbitrage profits introductory balance transfer offers
2011/8/22
This article presents information about recent changes in credit card contracts and discusses the availability of arbitrage profits on introductory balance transfer offers. The article also reviews li...
Arbitrage and Hedging in a non probabilistic framework
hedging and arbitrage topological structure of the trajectory space non probabilistic arbitrage
2011/3/30
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory sp...
Arbitrage hedging strategy and one more explanation of the volatility smile
step-like contrast structure semi-linear parabolic equation arbitrage option hedging strategy volatility smile
2011/3/23
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, com...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage
2010/10/18
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
No-arbitrage of second kind in countable markets with proportional transaction costs
No-arbitrage transaction costs bond market
2010/10/21
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable asse...
A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
Direct Proof Bichteler--Dellacherie Theorem Connections to Arbitrage
2010/10/20
We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes $S$ allowing for a useful integration theory consists precisely of thos...
The fractional volatility model: No-arbitrage, leverage and risk measures
Fractional noise Arbitrage Incomplete market Risk measures
2010/10/21
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Deterministic criteria arbitrage one-dimensional diffusion models
2010/10/20
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional d...
No-arbitrage pricing under cross-ownership
Absolute priority rule capital structure irrelevance contingent claims
2010/10/20
We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may include debts and deriva...
Hedging under arbitrage
Hedging arbitrage
2010/10/19
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This hol...
Diversity and Arbitrage in a Regulatory Breakup Model
Diversity Arbitrage Regulatory Breakup Model
2010/10/19
In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We ...
An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium ...
Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set
Yield curve terms tructure of interest rates forecasting large data set factor models
2011/4/1
This paper addresses the issue of forecasting the term structure.We provide a unified state-space modeling framework that encompasses different existing discrete-time yield curve models.
Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance...
We have embedded the classical theory of stochastic finance into a differential geometric
framework called Geometric Arbitrage Theory and show that it is possible to.