Results 1 to 10 of about 126,532 (367)
Arbitrage Opportunities and their Implications to Derivative Hedging [PDF]
, 2005 We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing, Physica A 345 (2005), 207-217] for the case of hedging a derivative when arbitrage opportunities are present in the
arxiv +1 more source
SSRN Electronic Journal, 2010 This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit client`ele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs.
Rahi, Rohit, Zigrand, Jean-Pierre
openaire +3 more sources
Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs [PDF]
, 2009 This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages.
Mayordomo, Sergio +2 more
core +1 more source
Stochastic Processes and their Applications, 1998 AbstractAn arbitrage opportunity is constructed in a frictionless stock market when price processes have continuous sample paths of bounded p-variation with p∈[1,2).
openaire +3 more sources
On the informational efficiency of Saudi exchange-traded funds listed at home and away from home
Cogent Economics & Finance, 2021 This study compares the pricing efficiency of two domestic exchange-traded funds (ETFs) (i.e., Falcom 30 and HSBC 20) listed on the Saudi stock exchange (i.e., Tadawul), as well as an international ETF (i.e., iShares MSCI Saudi Arabia) listed on the NYSE,
Nassar S. Al-Nassar
doaj +1 more source
, 2010 The goal of this article is to understand some interesting features of sequences of arbitrage operations, which look relevant to various processes in Economics and Finances. In the second part of the paper, analysis of sequences of arbitrages is reformulated in the linear algebra terms.
Victor Kozyakin +2 more
openaire +2 more sources
No unbounded arbitrage, weak no market arbitrage and no arbitrage price system conditions; Equivalent conditions [PDF]
Journal of Mathematical Economics, 2010 Page and Wooders [Page Jr., F.H., Wooders, M., 1996. A necessary and sufficient condition for compactness of individually rational and easible outcomes and existence of an equilibrium. Economics Letters 52, 153–162] prove that the no unbounded arbitrage (NUBA), a special case of a condition in Page [Page, F.H., 1987. On equilibrium in Hart’s securities
Ha-Huy, Thai, Nguyen, Manh Hung
openaire +8 more sources
The value of informational arbitrage [PDF]
Finance and Stochastics, 2018 36 ...
Chau H. N., Cosso A., Fontana C.
openaire +7 more sources
On the drivers of global grain price volatility: an empirical investigation
Agricultural Economics (AGRICECON), 2019 Several drivers may generate market instability, but the partial contribution of different factors is still debated. We investigate how market-based drivers influence the global price volatility of three major grains: wheat, corn, barley.
Fabio Gaetano Santeramo, Emilia Lamonaca
doaj +1 more source