SSRN Electronic Journal, 2020 We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by Gatheral in 2004. The main ingredient is an intermediary characterization of the necessary condition for no arbitrage obtained for any model by Fukasawa in 2012 that the inverse functions of the -d1 and -d2 of the Black-Scholes formula ...
Claude Martini, Arianna Mingone
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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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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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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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Nonequilibrium Geometric No-Arbitrage Principle and Asset Pricing Theorem
Discrete Dynamics in Nature and Society, 2023 We find a novel and intimate correspondence in the present paper between the martingale and one-parameter transformation group and develop a nonequilibrium geometric no-arbitrage principle to a frictional financial market via this correspondence. Further,
Wanxiao Tang, Peibiao Zhao
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Stochastic arbitrage return and its implications for option pricing [PDF]
, 2004 The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic ...
Fedotov, Sergei, Panayides, Stephanos
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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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Detection of arbitrage opportunities in multi-asset derivatives markets
Dependence Modeling, 2021 We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously.
Papapantoleon Antonis +1 more
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On arbitrages arising from honest times [PDF]
, 2013 In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits.
A. Grorud +40 more
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Allocation of Energy Storage Systems in a Hydro-Thermal-Wind System [PDF]
Brazilian Archives of Biology and TechnologyStrong concerns over greenhouse gas emissions have required the construction of non-polluting energy sources such as wind farms and photovoltaic plants. This need, combined with recent technological developments, has enabled the global installed capacity
Alvaro Augusto Waldrigues de Almeida +1 more
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