Results 231 to 240 of about 139,496 (320)

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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

A Two Factor No-Arbitrage Model of the Term Structure of Interest Rates

, 1996
T.S. Ho, Richard C. Stapleton, Marti G. Subrahmanyam   +2 more
openalex   +1 more source

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

China's urban EV ultra-fast charging distorts regulated price signals and elevates risk to grid stability. [PDF]

Nat Commun
Yu Q, Zhao P, Li J, Wang H, Yan J, Zhang H.   +5 more
europepmc   +1 more source

High Return Correlations in Emerging Markets: Are They Symptoms of Exploitable Arbitrage and Massive Market Inefficiency? Evidence from Germany, Mexico, Thailand and Turkey

, 2003
James Kurt Dew
openalex   +1 more source

Order Routing and Market Quality: Who Benefits From Internalization?

Mathematical Finance, EarlyView.
ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley   +1 more source

The credit risk information dynamics between the cds and equity markets: empirical evidence and application to capital structure arbitrage

, 2017
YiDing Xiang
openalex   +1 more source

Perpetual Futures Pricing

Mathematical Finance, EarlyView.
ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer, Julien Hugonnier, Urban Jermann   +2 more
wiley   +1 more source

Does financialization inhibit enterprise innovation? Analysis of innovation behavior of Chinese enterprises based on evolutionary game. [PDF]

Heliyon
Tang J, Gong R, Shi Y, Wang H, Wang M.
europepmc   +1 more source

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

, 1999
Andrew Ang, Monika Piazzesi
openalex   +1 more source