Results 21 to 30 of about 891 (167)
Valuation of Government Bonds: the Exchange Rate Is an Important Aspect
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds.
Blanka Francová
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CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia
Malaysian Management Journal, 2020 This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon +2 more
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Quantile hedging for contingent claims in an uncertain financial environment
AIMS Mathematics, 2023 This paper first studies the quantile hedging problem of contingent claims in an uncertain market model. A special kind of no-arbitrage, that is, the absence of immediate profit, is characterized.
Jun Zhao, Peibiao Zhao
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Multi-assets Asian rainbow options pricing with stochastic interest rates obeying the Vasicek model
AIMS Mathematics, 2023 Asian rainbow options provide investors with a new option solution as an effective tool for asset allocation and risk management. In this paper, we address the pricing problem of Asian rainbow options with stochastic interest rates that obey the Vasicek ...
Yao Fu, Sisi Zhou, Xin Li, Feng Rao
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Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
تحقیقات مالی, 2020 Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
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Borsa Istanbul Review, 2019 This paper studies the dynamics of the impact of currency fluctuation on Indian stock market by assessing the pricing of exchange rate risk during the period 2005–2016, specifically before and after financial crises.
Smita Mahapatra, Saumitra N. Bhaduri
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A pricing model for subscriptions in data transactions
Connection Science, 2022 With the increasing demands for data, the subscription scheme came into being in the face of pricing for an extensive and unfixed number of data items. However, in the existing subscription scheme, a diversity of customers in the real market may lead to ...
Bo Li, Minrui Wu, Zhongcheng Li, Yi Sun
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Arbitrage in the Hermite Binomial Market
Fractal and Fractional, 2022 Much attention has been paid to the arbitrage opportunities in the Black–Scholes model when it is driven by fractional Brownian motions. It is natural to ask whether there exists arbitrage or not when we focus on other fractional processes, such as the ...
Xuwen Cheng, Yiran Zheng, Xili Zhang
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An Analysis of the Impact of Selected Factors on the Bond Market
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums.
Blanka Francová
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Forecasting semi-stationary processes and statistical arbitrage
Statistical Theory and Related Fields, 2020 If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process, then we can use the moving average of the historical payoffs to forecast and the corresponding errors
Si Bao, Shi Chen, Wei An Zheng, Yu Zhou
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