Results 31 to 40 of about 156,527 (368)
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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Convexity arbitrage – the idea which does not work
Cogent Economics & Finance, 2022 Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable and promise profitability. This research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in ...
Bohumil Stádník
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Asymptotic proportion of arbitrage points in fractional binary markets [PDF]
, 2015 A fractional binary market is an approximating sequence of binary models for the fractional Black-Scholes model, which Sottinen constructed by giving an analogue of the Donsker's theorem.
Cordero, Fernando +2 more
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Recent trends in the financial field in Brazil and their impact on the political scenario
Dados: Revista de Ciências Sociais, 2005 During the last decade Brazil has witnessed the expansion and differentiation of its financial field, with a major impact on society and the composition of its elites.
Roberto Grün, Knight Dundonald Campbell
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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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Non-Atomic Arbitrage in Decentralized Finance [PDF]
IEEE Symposium on Security and PrivacyThe prevalence of maximal extractable value (MEV) in the Ethereum ecosystem has led to a characterization of the latter as a dark forest. Studies of MEV have thus far largely been restricted to purely on-chain MEV, i.e., sandwich attacks, cyclic ...
Lioba Heimbach +2 more
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A evolução recente do espaço financeiro no Brasil e alguns reflexos na cena política
Dados: Revista de Ciências Sociais, 2004 Dans la dernière décennie, le Brésil a connu un essor et des changements dans son espace financier qui ont provoqué un grand impact dans la société et la composition de ses élites.
Roberto Grün
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Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets [PDF]
, 2014 We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was constructed by Sottinen and named fractional binary markets. Since,
Cordero, Fernando, Perez-Ostafe, Lavinia
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Arbitrage Theory in Continuous Time
, 2019 The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications.
T. Björk
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A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
Risks, 2019 This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53 ...
Stanislaus Maier-Paape +2 more
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