Results 151 to 160 of about 134,522 (315)
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
, 2007 We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, A., Fabbri, G., Goldys, B.
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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 +2 more
wiley +1 more source
New trading strategy in investment and a new anomaly: A study of the hedge funds from emerging and developed markets. [PDF]
Heliyon, 2023 Wong WK +4 more
europepmc +1 more source
Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures [PDF]
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is ...
Cuong Le Van, Rose-Anne Dana
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European Management Review, EarlyView.Abstract The last decade has witnessed increased demand by employers and workers for greater flexibility, especially regarding remote and hybrid work. There has therefore been a substantial increase in academic interest in coworking, including within business and management studies. We conduct a systematic literature review of research on coworking and
Jennifer Johns +5 more
wiley +1 more source
Understanding the Performance of Currency Basis‐Momentum
European Financial Management, EarlyView.ABSTRACT We conduct an in‐depth analysis of basis momentum (BM) in currency markets and examine its relationship with key market anomalies. We find that BM strategies generate significant excess returns across various formation periods. These abnormal returns are not fully explained by the closely related carry and momentum factors.
Minyou Fan +3 more
wiley +1 more source
State‐Dependent Relationship Between Cryptocurrency Returns and Credit Spreads
European Financial Management, EarlyView.ABSTRACT This study investigates how overconfident cryptocurrency traders influence the connection between returns and risk premia, proxied by option‐adjusted credit spreads. Using daily data from January 2021 to February 2025, we uncover asymmetry and state dependence: returns decline when spreads widen, particularly during crashes, yet they do not ...
Geul Lee, Doojin Ryu
wiley +1 more source
The Convertible Arbitrage Strategy Analyzed [PDF]
This paper analyzes convertible bond arbitrage on the Canadian market for the period 1998 to 2004.Convertible bond arbitrage is the combination of a long position in convertible bonds and a short position in the underlying stocks.
Horst, J.R. ter +2 more
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Persistence and Market Timing Ability of Cryptocurrency Funds
Financial Management, EarlyView.ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns.
Thomas Conlon +2 more
wiley +1 more source
Arbitrage: the key to pricing options [PDF]
Arbitrage has become associated in popular attitudes with the most ruthless and profit-driven of human impulses, but the opposite reputation might be more well-deserved. The ability to arbitrage is essential for the efficient operation of markets.
Ed Nosal, Tan Wang
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