Results 91 to 100 of about 155,395 (397)

Generalised arbitrage-free SVI volatility surfaces

open access: yes, 2016
In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces.
Guo, Gaoyue   +3 more
core   +1 more source

Statistical Arbitrage in Cryptocurrency Markets

open access: yesJournal of Risk and Financial Management, 2019
Machine learning research has gained momentum—also in finance. Consequently, initial machine-learning-based statistical arbitrage strategies have emerged in the U.S.
Thomas G. Fischer   +2 more
semanticscholar   +1 more source

Static arbitrage bounds on basket option prices [PDF]

open access: yesMathematical programming, 2003
We consider the problem of computing upper and lower bounds on the price of an European basket call option, given prices on other similar options. Although this problem is hard to solve exactly in the general case, we show that in some instances the ...
A. d'Aspremont, L. Ghaoui
semanticscholar   +1 more source

Corporate Climate Risk and Membership of Emission Trading Schemes

open access: yesBusiness Strategy and the Environment, EarlyView.
ABSTRACT Using a sample of 5364 firms from 65 countries, we demonstrate that membership in the scheme increases firm climate risk. Further analysis reveals that the positive impact of membership on climate risk is pronounced among firms in carbon‐intensive industries. Our findings demonstrate that continental differences and legal origin could moderate
Gbenga Adamolekun   +4 more
wiley   +1 more source

Evaluating Companies' Impression Management Tactics in Mandatory Sustainability Reporting

open access: yesBusiness Strategy and the Environment, EarlyView.
ABSTRACT The study aims to investigate how a sample of Italian companies adopt impression management (IM) tactics in sustainability reports under mandatory sustainability disclosure regulations. Using longitudinal panel data analysis on sustainability reporting and firm features of 76 Italian companies over 5 years, it evaluates the influence of GRI ...
Antonio Iazzi   +3 more
wiley   +1 more source

The concept of stochastic dominance in ranking investment alternatives [PDF]

open access: yesEkonomski Anali, 2005
In order to rank investments under uncertainty, the most widely used method is mean variance analysis. Stochastic dominance is an alternative concept which ranks investments by using the whole distribution function.
Trifunović Dejan
doaj   +1 more source

Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions [PDF]

open access: yes, 2019
Background: This paper aims to characterize the absence of arbitrage in the context of the Arbitrage Theory proposed by Kreps (1981) and Clark (2000) which involves a certain number of well-known financial markets.
Cruz Rambaud, Salvador
core   +2 more sources

Does Listing Farther Influence Carbon Emissions Production? Evidence From Internationally Cross‐Border Listed Firms

open access: yesCorporate Social Responsibility and Environmental Management, Volume 32, Issue 3, Page 3832-3853, May 2025.
ABSTRACT The past decade has witnessed an increase in stakeholder pressures for publicly‐listed firms to reduce their emissions. While most firms have been receptive to these pressures, they have also been observed to devise strategies to circumvent regulatory guidelines and avoid liabilities.
Anson Au
wiley   +1 more source

Insider information and its relation with the arbitrage condition and the utility maximization problem

open access: yesMathematical Biosciences and Engineering, 2020
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of insider information.
Bernardo D'Auria   +1 more
doaj   +1 more source

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