Results 71 to 80 of about 131,825 (170)
Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures [PDF]
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is ...
Cuong Le Van, Rose-Anne Dana
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A note on two notions of arbitrage [PDF]
Since Hart's [5] and Werner's [10] seminal papers, several conditions have been proposed to show the existence of equilibrium in an asset exchange economy with short-selling.
Allouch, Nizar
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Ecos de Economía, 2011 This research continues the paper “Generalidades de los ADRs: Un estudio de casosectorial para empresas de Colombia, Mexico, Brasil y Chile” [ADRs generalities: a sectorial case study for companies in Colombia, Mexico, Brazil and Chile].
Andrés Mauricio Mora, Daniela Fleisman
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Arbitrage-Free Smoothing of the Implied Volatility Surface [PDF]
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition ...
Matthias R. Fengler
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Arbitrage in automated market makers
Frontiers in BlockchainOne of the most interesting applications of blockchain is given by the automated market makers (AMMs). In the paper, we discuss how arbitrage activity between the AMMs and the other exchange nodes can affect the volumes of assets in liquidity pools of ...
Nicola Dimitri
doaj +1 more source
DAX Index Futures: Mispricing and Arbitrage in German Markets [PDF]
The paper reports the results of an empirical study of the price relation between the German Performance Stock Index, DAX, and DAX futures. An ex-ante arbitrage strategy based on arbitrage signals is analyzed.
Bühler, Wolfgang, Kempf, Alexander
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An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model [PDF]
The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce ...
Francis X. Diebold +2 more
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Valuation and Hedging of Contracts with Funding Costs and Collateralization [PDF]
, 2014 The research presented in this work is motivated by recent papers by Brigo et al. (2011), Burgard and Kjaer (2009), Cr\'epey (2012), Fujii and Takahashi (2010), Piterbarg (2010) and Pallavicini et al. (2012).
Bielecki, Tomasz R., Rutkowski, Marek
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Martingales and arbitrage: a new look [PDF]
, 2003 This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may ...
Balbás, Alejandro
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The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis [PDF]
This paper is concerned with arbitrage efficiency of the Nikkei index option contracts traded on the Osaka Securities Exchange ( OSE) within the put-call parity (PCP) framework. A thorough ex post analysis is first carried out.
Steven Li
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