Results 211 to 220 of about 156,527 (368)
Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets
, 1996 John Cochrane, Jesús Saá-Requejo
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Arbitrage, duality and asset equilibria [PDF]
, 2000 Rose‐Anne Dana, Cuong Le Van
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S&P 500 microstructure noise components: empirical inferences from futures and ETF prices
Journal of Time Series Analysis, EarlyView.By studying the differences between futures prices and exchange‐traded fund prices for the S&P 500 index, original results are obtained about the distribution and persistence of the microstructure noise component created by positive bid‐ask spreads and discrete price scales.
Stephen J. Taylor
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Mu Kara SaniCet article vise à évaluer l’efficacité des mécanismes de justice traditionnelle au Niger dans leur capacité à résoudre les conflits au XIXe siècle. Cette étude permet de comprendre non seulement l’histoire du pays, mais aussi les interactions entre ...
Hassimou ALAKARBO
doaj
Stock Index Spot-Futures Arbitrage Prediction Using Machine Learning Models. [PDF]
Entropy (Basel), 2022 Sheng Y, Ma D.
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Integration and arbitrage in the Spanish financial markets: An empirical approach* [PDF]
, 2000 Alejandro Balbás +2 more
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A Stochastic Tree for Bubble Asset Modelling and Pricing
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a new stochastic tree representation of a strictly stationary submartingale process for modelling, forecasting, and pricing speculative bubbles on commodity and cryptocurrency markets. The model is compared to other trees proposed in the literature on bubble asset modelling and stochastic volatility approximation. We show that the
Christian Gourieroux, Joann Jasiak
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Arbitrage and Control Problems in Finance. Presentation. [PDF]
, 2000 Elyès Jouini
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Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
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