Results 71 to 80 of about 156,527 (368)
No‐arbitrage implies power‐law market impact and rough volatility [PDF]
Mathematical Finance, 2018 Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that in a quite general framework, under no‐arbitrage assumption, the market impact function can only be of power‐law
Paul Jusselin, M. Rosenbaum
semanticscholar +1 more source
The Bitter Taste of Brazil's Temporary Import Ban on Robusta Coffee
Agribusiness, EarlyView.ABSTRACT Brazil, a leading Robusta coffee producer and exporter, faced a significant drought in 2016–2017, which drastically reduced production and depleted stocks. Consequently, Brazil temporarily permitted the import of one million 60‐kg bags of Robusta coffee in the spring 2017. An import ban was imposed shortly afterward due to lobbying by domestic
Hanifi Otgun +2 more
wiley +1 more source
Features Inherent to Law Regulation of Arbitrage in Russian and the USA
Московский журнал международного права, 2016 This article is devoted to the study of principal features inherent to law regulation of arbitrage in Russia and the USA, which has been performed in the light of a wide-scale reform of arbitrage courts in Russia.
Stanislav S. Ageev, Maxim I. Inozemtsev
doaj +1 more source
Corporate Climate Risk and Membership of Emission Trading Schemes
Business Strategy and the Environment, EarlyView.ABSTRACT Using a sample of 5364 firms from 65 countries, we demonstrate that membership in the scheme increases firm climate risk. Further analysis reveals that the positive impact of membership on climate risk is pronounced among firms in carbon‐intensive industries. Our findings demonstrate that continental differences and legal origin could moderate
Gbenga Adamolekun +4 more
wiley +1 more source
IEEE Access, 2019 Arbitrage risk management is a very hot and challengeable topic in the commodity future market. To resist the possible risk of an arbitrage, exchanges have to withdraw margin from clients referring to the case of maximum risk.
Feng He, Yan-Dong Wen
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Risks, 2023 We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices.
Daniel Guterding
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, 2010 The goal of this article is to understand some interesting features of sequences of arbitrage operations, which look relevant to various processes in Economics and Finances. In the second part of the paper, analysis of sequences of arbitrages is reformulated in the linear algebra terms.
Victor Kozyakin +2 more
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Evaluating Companies' Impression Management Tactics in Mandatory Sustainability Reporting
Business Strategy and the Environment, EarlyView.ABSTRACT The study aims to investigate how a sample of Italian companies adopt impression management (IM) tactics in sustainability reports under mandatory sustainability disclosure regulations. Using longitudinal panel data analysis on sustainability reporting and firm features of 76 Italian companies over 5 years, it evaluates the influence of GRI ...
Antonio Iazzi +3 more
wiley +1 more source
Generalised arbitrage-free SVI volatility surfaces
, 2016 In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces.
Guo, Gaoyue +3 more
core +1 more source
No unbounded arbitrage, weak no market arbitrage and no arbitrage price system conditions; Equivalent conditions [PDF]
Journal of Mathematical Economics, 2010 Abstract Page and Wooders [Page Jr., F.H., Wooders, M., 1996. A necessary and sufficient condition for compactness of individually rational and feasible outcomes and existence of an equilibrium. Economics Letters 52, 153–162] prove that the no unbounded arbitrage (NUBA), a special case of a condition in Page [Page, F.H., 1987.
Ha-Huy, Thai, Nguyen, Manh Hung
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