Results 121 to 130 of about 134,260 (327)

AN ARBITRAGE RATIONALE FOR TESTS OF MUTUAL FUND PERFORMANCE [PDF]

, 1979
Ken V. Peasnell, Len Skerratt, Peter Taylor   +2 more
openalex   +1 more source

How arbitrage-free is the Nelson-Siegel Model? [PDF]

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999).
Coroneo, Laura, Nyholm, Ken, Vidova-Koleva, Rositsa   +2 more
core  

Arbitrage Bounds for Prices of Weighted Variance Swaps

, 2012
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap
Davis, Mark H. A., Obloj, Jan, Raval, Vimal   +2 more
core   +1 more source

The far side of capitalism: Institutions and trade financing in Manila during the long eighteenth century

The Economic History Review, EarlyView.
Abstract Sustained long‐distance trade in the early modern era necessitated institutional mechanisms capable of solving three interrelated challenges: the need to mobilize an unprecedented volume of capital and to lock it in for long periods of time, ways of mitigating the principal–agent problem across continents, and methods to internalize and ...
Juan José Rivas Moreno
wiley   +1 more source

Arbitrage with ADRs: a sectorial case study for companies in Colombia, Mexico, Brazil and Chile Arbitraje con ADRs: un estudio de caso sectorial para empresas de Colombia, México, Brasil y Chile

Ecos de Economía, 2011
This research continues the paper “Generalidades de los ADRs: Un estudio de casosectorial para empresas de Colombia, Mexico, Brasil y Chile” [ADRs generalities: a sectorial case study for companies in Colombia, Mexico, Brazil and Chile].
Andrés Mauricio Mora, Daniela Fleisman
doaj  

The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis [PDF]

This paper is concerned with arbitrage efficiency of the Nikkei index option contracts traded on the Osaka Securities Exchange ( OSE) within the put-call parity (PCP) framework. A thorough ex post analysis is first carried out.
Steven Li
core  

No arbitrage without semimartingales

The Annals of Applied Probability, 2009
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example, fractional Brownian motion.
Jarrow, Robert A., Protter, Philip, Sayit, Hasanjan   +2 more
openaire   +5 more sources

China inside out: Explaining silver flows in the triangular trade, c. 1820s‒70s

The Economic History Review, EarlyView.
Abstract This paper analyses a new large dataset of silver prices, as well as silver and merchandise trade flows in and out of China in the crucial decades of the mid‐nineteenth century when the Empire was opened to world trade. Silver flows were associated with the interaction between heterogeneous monetary preferences and availability of specific ...
Alejandra Irigoin, Atsushi Kobayashi, David Chilosi   +2 more
wiley   +1 more source

Arbitrage in automated market makers

Frontiers in Blockchain
One of the most interesting applications of blockchain is given by the automated market makers (AMMs). In the paper, we discuss how arbitrage activity between the AMMs and the other exchange nodes can affect the volumes of assets in liquidity pools of ...
Nicola Dimitri
doaj   +1 more source

DAX Index Futures: Mispricing and Arbitrage in German Markets [PDF]

The paper reports the results of an empirical study of the price relation between the German Performance Stock Index, DAX, and DAX futures. An ex-ante arbitrage strategy based on arbitrage signals is analyzed.
Bühler, Wolfgang, Kempf, Alexander
core