Results 51 to 60 of about 6,903 (211)

Arbitrage and Control Problems in Finance. Presentation. [PDF]

The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959, Chap. 7), the Black and Scholes (1973) formula,and the Cox and Ross (1976) linear pricing model.
Elyès Jouini
core  

Infinitely many securities and the fundamental theorem of asset pricing [PDF]

, 2004
Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Balbás, Alejandro, Downarowicz, Anna
core  

Optional Defaultable Markets

Risks, 2017
The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces ...
Mohamed N. Abdelghani, Alexander V. Melnikov   +1 more
doaj   +1 more source

Constructing Arbitrage-free Binomial Models

, 2004
Wöster C. Constructing Arbitrage-free Binomial Models. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Bielefeld: Universität Bielefeld; 2004.In the past decades several versions of the binomial model for option pricing,
Wöster, Christoph
core  

Equity Price Risk and Return: Evidence from the Karachi Stock Exchange

JISR Management and Social Sciences & Economics, 2009
This paper examines the tradeoff between equity price risk and returns obtained through various approaches. Capital asset pricing model (CAPM) and arbitrage pricing model (APT) are considered to be the fundamental building blocks of the portfolio theory,
Talha Bin Ali Khan, Ali Khizar Aslam
doaj  

Arbitrage Theorem and its Applications

Theory, Methodology, Practice, 2002
In my article I describe the concept of financial rate of return and the value of return in a very simple model first. Then as generalisation of the model we take an experiment, which has n possible outcomes.
Tamás Nagy
doaj  

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
core  

Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process [PDF]

مجله دانش حسابداری, 2014
Unanticipated components of macroeconomic variables have important role in testing of Arbitrage Pricing Theory, because generating techniques may lead to false interference based on statistical significance.
doaj   +1 more source

Essays in statistical arbitrage

, 2014
This three-paper thesis explores the important relationship between arbitrage and price efficiency. Chapter 3 investigates the risk-bearing capacity of arbitrageurs under varying degrees and types of risk.
Alsayed, Hamad
core  

Discrete-time market models from the small investor point of view and the first fundamental-type theorem

Annales Universitatis Paedagogicae Cracoviensis: Studia Mathematica, 2017
In this paper, we discuss the no-arbitrage condition in a discrete financial market model which does not hold the same interest rate assumptions. Our research was based on, essentially, one of the most important results in mathematical finance, called ...
Marek Karaś, Anna Serwatka
doaj   +1 more source