Results 131 to 140 of about 243,052 (302)
Dynamic Arbitrage Gaps for Financial Assets [PDF]
In this paper we are concerned with the existence of a dynamic arbitrage gap that evolves out of an adjustment process for disequilibrium prices, within a complex dynamics framework which takes into account the market microstructure and transactions ...
Rodolfo Apreda
core
The commercialization of labour markets: Evidence from wage inequality in the Middle Ages
The Economic History Review, EarlyView.Abstract This paper moves beyond the focus on ‘average’ wage trends in pre‐industrial economies by examining the broad diversity of pay rates and forms of remuneration across occupations and regions in medieval England. We find that whilst some workers enjoyed substantial growth in wage rates after the Black Death, there was a large group who ...
Jordan Claridge +2 more
wiley +1 more source
The Economic History Review, EarlyView.Abstract Using newly collected discount rate data for six Swiss cities from 1846 to 1893, we find no evidence of increasing integration during a 30‐year period of lightly regulated free banking. We attribute this to two structural issues: banks had incentives to ward off competitors by protecting their local monopolies or forming cartels, and there was
Daniel Kaufmann, Rebecca Stuart
wiley +1 more source
Real World Pricing of Long Term Contracts [PDF]
Long dated contingent claims are relevant in insurance, pension fund management and derivative pricing. This paper proposes a paradigm shift in the valuation of long term contracts, away from classical no-arbitrage pricing towards pricing under the real ...
Eckhard Platen
core
The big impact of small change: Fresh estimates of English wheat market integration, 1693–1893
The Economic History Review, EarlyView.Abstract Using existing and new price data sets, we provide the first estimates of market integration across England over the entire 200 years of the industrial revolution. We document a significant, though not huge, integration improvement for markets furthest from London. Full integration was achieved by the 1830s. Our price data sets vary in quality
Liam Brunt, Edmund Cannon
wiley +1 more source
It should be expected from this paper an expansion on some distinctive issues regarding arbitrage portfolios: i) a definition on arbitrage portfolios that enables adjustments to SML and CML environments; ii) sufficient conditions to set up arbitrage ...
Rodolfo Apreda
core
Atlantic trade and the West African market economy: New evidence from cowry imports, 1650–1905
The Economic History Review, EarlyView.Abstract Between the seventeenth and twentieth centuries, billions of cowries arrived in West Africa, leaving one of the few quantitative traces available for historians to measure the Atlantic trade's impact on the precolonial market economy. Yet, current estimates substantially underestimate the volume of cowry imports.
María José Pont Cháfer
wiley +1 more source
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, Alan +2 more
core
The Economic History Review, EarlyView.Abstract Financial history is plagued by a visibility trap. Using the Brussels Stock Exchange (1850–1913), we demonstrate that asset illiquidity introduced selection bias, which systematically inflated historical risk premia. Applying a latent return model, we argue that correcting for this illiquidity decreases the equity and corporate bond risk ...
Justin Case +2 more
wiley +1 more source
Spatiotemporal bidding for multi-energy systems with photovoltaic dominance: a scenario-based Stackelberg-Nash game formulation. [PDF]
Sci RepQiao H, Wen S, Zhang Y, Zhang J, Li K.
europepmc +1 more source