Results 11 to 20 of about 131,825 (170)
Energies, 2023 Large-scale integration of renewable energy sources introduces high levels of uncertainty in power systems. In addressing the inherent uncertainty of renewables, coupling with energy storage systems allows for improved dispatchability, not only in terms ...
Stefanos Tampakakis, Dimitrios Zafirakis
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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
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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
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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
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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
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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
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Weak and strong no-arbitrage conditions for continuous financial markets [PDF]
, 2014 We propose a unified analysis of a whole spectrum of no-arbitrage conditions for finan- cial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage ...
Fontana, Claudio
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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
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Application of Stochastics Dominance via Quantile Regression in Analysis of Arbitrage Opportunities Market Efficiency and Investors Preferences [PDF]
تحقیقات مالی, 2021 Objective: The stochastic dominance theory has extensively employed in various financial fields because it is not necessary to assume a specific distribution of returns, such as normal distribution.
Moslem Peymany Foroushany +2 more
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Binary market models with memory [PDF]
, 2004 We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free.
Anh, Vo +2 more
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