Results 11 to 20 of about 139,496 (320)
Characterization of arbitrage-free markets [PDF]
, 2005 The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl. Probab.
Eva Strasser
openalex +3 more sources
IEEE Access, 2020 Energy storage plays a significant role in improving the stability of distributed energy, improving power quality and peak regulation in the micro-grid system, which is of great significance to the sustainable development of energy.
Yunjun Yu, Zhenfen Cai, Yushui Huang
doaj +1 more source
Convexity arbitrage – the idea which does not work
Cogent Economics & Finance, 2022 Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable and promise profitability. This research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in ...
Bohumil Stádník
doaj +1 more source
Mathematical Finance, 2017 AbstractWe develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no‐arbitrage arguments, we derive backward stochastic differential equations associated with the replicating portfolios of long and short positions in the claim ...
Bichuch, Maxim +2 more
openaire +3 more sources
Mathematical Biosciences and Engineering, 2023 We prove that Theorem 4.16 in [1] is false by constructing a strategy that generates (FLVR)H(G). However, we success to prove that the no arbitrage property still holds when the agent only plays with strategies belonging to the admissible set called buy ...
Bernardo D'Auria +1 more
doaj +1 more source
Locarno Treaties (1925) in the Context of the Versailles System Transformation as seen from London
Вестник Московского Университета. Серия XXV: Международные отношения и мировая политика, 2021 This paper is an attempt to reassess the role of the Locarno Treaties (1925) in terms of the Versailles-Washington system of international relations evolution.
E. V. Khakhalkina, V. S. Dzyuba
doaj +1 more source
Sound Deposit Insurance Pricing Using a Machine Learning Approach
Risks, 2019 While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage.
Hirbod Assa +2 more
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]
, 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 +8 more sources
Sentiment versus mood: a conceptual and empirical investigation [PDF]
Journal of Capital Markets Studies, 2019 Purpose – The purpose of this paper is to investigate whether sentiment and mood, which are distinct theoretical concepts, can also be distinguished empirically.
Albert Rapp
doaj +1 more source
Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio.
PLoS ONE, 2021 In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a factor model.
An-Sing Chen, Che-Ming Yang
doaj +1 more source