Results 111 to 120 of about 126,532 (367)
Mathematical Finance, 2012 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 holds true in market models in which no equivalent local martingale measure exists but only a square‐integrable market price of risk.
openaire +5 more sources
Determinants of Dividend Payout Policy: More Evidence From Emerging Markets of G20 Bloc
International Journal of Finance &Economics, EarlyView.ABSTRACT The purpose of this article is to examine the key factors influencing dividend payout policy in emerging markets, using a quantitative approach with a sample of 938 firms and 19,698 firm‐year observations. The study considers dividends, and share repurchases as elements of payout, analysing the effect of earnings, taxes, debt, size and free ...
Wagner Dantas de Souza Junior +2 more
wiley +1 more source
“I just like the stock”: The role of Reddit sentiment in the GameStop share rally
Financial Review, Volume 58, Issue 1, Page 19-37, February 2023., 2023 Abstract This paper investigates the role played by the social media platform Reddit in the events around the GameStop (GME) share rally in early 2021. In particular, we analyze the impact of discussions on the r/WallStreetBets subreddit on the price dynamics of the American online retailer GameStop.
Suwan (Cheng) Long +3 more
wiley +1 more source
Transit Fare Arbitrage: Case Study of San Francisco Bay Area Rapid Transit (BART) System [PDF]
arXiv, 2014 Transit fare arbitrage is the scenario when two or more commuters agree to swap tickets during travel in such a way that total cost is lower than otherwise. Such arbitrage allows pricing inefficiencies to be explored and exploited, leading to improved pricing models.
arxiv
Arbitrage, Bubbles, and Valuation [PDF]
International Economic Review, 1997 body {background-color:#C8102E} h1 {color:white} h2 {color:white} div.text { color: white; float: left; width: 90%; margin-top: 2%; margin-left: 3%; padding: 2%; padding-top: 1%; border: 3px solid #FFF; font-family: Verdana; font-size: 13px; }
openaire +4 more sources
Major Conundrums and Possible Solutions in DeFi Insurance
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper empirically explores the early development of insurance projects in the decentralised finance (DeFi) industry, which is based on disruptive technologies like blockchain and smart contracts. A brief history of DeFi is narrated, stressing four risks of DeFi (volatility risk, cyberattack risk, liquidity risk, and regulation risk) and ...
Peng Zhou, Ying Zhang
wiley +1 more source
Arbitrage theory without a numéraire [PDF]
arXiv, 2014 This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a num\'eraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the notions of investment-consumption arbitrage and pure-investment arbitrage provide a discrete-time analogue of the
arxiv
Exchange Rate Risk and Deviations From Purchasing Power Parity
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk premium that leads to deviations from PPP.
Michael G. Arghyrou +2 more
wiley +1 more source
Implementation of Optimal Scheduling Algorithm for Multi-Functional Battery Energy Storage System
Energies, 2019 Energy storage system (ESS) can play a positive role in the power system due to its ability to store, charge and discharge energy. Additionally, it can be installed in various capacities, so it can be used in the transmission and distribution system and ...
Hee-Jun Cha, Sung-Eun Lee, Dongjun Won
doaj +1 more source
Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs [PDF]
This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages.
Juan Ignacio Peña +2 more
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