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Random Neural Networks for Rough Volatility. [PDF]
Appl Math OptimJacquier A, Žurič Ž.
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Unequal exchange is not primarily about monetary value. [PDF]
Nat CommunHornborg A.
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The Journal of Finance, 1994 Abstract The efficiency of security prices depends upon arbitrage, that is, trading based upon knowledge that the price of an asset is different from its fundamental value. (Although the term ‘arbitrage,’ strictly speaking, refers to an entirely riskless speculation, we use the term in the broader sense common among practitioners ...
James Dow, Gary Gorton
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No Arbitrage and Arbitrage Pricing: A New Approach
The Journal of Finance, 1993ABSTRACTWe argue that arbitrage‐pricing theories (APT) imply the existence of a low‐dimensional nonnegative nonlinear pricing kernel. In contrast to standard constructs of the APT, we do not assume a linear factor structure on the payoffs. This allows us to price both primitive and derivative securities.
Bansal, Ravi, Viswanathan, S
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SSRN Electronic Journal, 2010
This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit client`ele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs.
Rohit Rahi, Jean-Pierre Zigrand
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This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit client`ele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs.
Rohit Rahi, Jean-Pierre Zigrand
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Journal of Economic Dynamics and Control, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Geyer, Alois +2 more
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Geyer, Alois +2 more
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Approximate Arbitrage: The Arbitrage Pricing Technique
1991This chapter extends the concept of arbitrage to encompass approximate arbitrage and develops the arbitrage pricing technique (or APT); this may be interpreted as a generalisation of the version of the CAPM developed in Chapter 3.
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2008
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
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Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
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1987
The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
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The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
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