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On a Semigroup Approach to No-arbitrage Pricing Theory
1999We show that the second order operator characterizing no-arbitrage pricing problems generates an Analytic Semigroup and therefore the Cauchy problem defining the no-arbitrage price of contingent claim contracts admits a solution. The conditions established in this paper are quite general, they encompass the sets of sufficient conditions already ...
E. BARUCCI, F. GOZZI, VESPRI, VINCENZO
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No Arbitrage-Pricing in Kreditportfoliomodellen
2003Nachdem in den vorangegangenen Kapiteln die Unterschiede und Gemeinsamkeiten verschiedener No Arbitrage-Modelle zur Bewertung einzelner bonitatssensitiver Finanztitel, vor allem von Kreditderivaten, im Vordergrund standen, wird in Kapitel 6 eine portfolioorientierte Betrachtungsweise von Kreditrisiken gewahlt.
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Mathematical Social Sciences, 1996
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Arbitrage and the Price of Oil [PDF]
, 2011 The model simulated in this paper shows that falling interest rates contribute to rising oil prices. This occurs because oil producers treat oil in the ground as an asset and attempt to arbitrage differences between its rate of return and the interest rate.
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Derivatives and arbitrage pricing
2011A financial derivative is a contract whose value depends on one or more securities or assets, called underlying assets. Typically the underlying asset is a stock, a bond, a currency exchange rate or the quotation of commodities such as gold, oil or wheat.
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Arbitrage and Pricing with Collateral
2001This work presents the implications of the absence of arbitrage in a two period incomplete markets economy where default is allowed, but it is required that all the assets be backed by a collateral bundle. This collateral can be exogenously given or can be determined by the sellers of assets, as in the Collateralized Mortgage Obligation (CMO) markets ...
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A Comment on No-Arbitrage Pricing
SSRN Electronic Journal, 2013In this short notice we present critical comments on no-arbitrage principle. We show that no-arbitrage pricing is complete in a pricing theory which ignores market risk and is dealing with the deterministic implied price of instruments. There is a unique price of a derivative in deterministic setting.
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2018
This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
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This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
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