Results 61 to 70 of about 1,698,577 (227)
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
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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 +1 more
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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
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Deliverability and regional pricing in U.S. natural gas markets [PDF]
During the 1980s and early '90s, interstate natural gas markets in the United States made a transition away from the regulation that characterized the previous three decades.
Mine K. Yucel, Stephen P.A. Brown
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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
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Numeraire Invariance and application to Option Pricing and Hedging [PDF]
This is a short version of the paper of Exchange Options (2007), concentrating on the principle of numeraire invariance. It emphasizes application to unique pricing in arbitrage-free model, the derivation of hedge ratios and the PDE when price ratios are
Jamshidian, Farshid
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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.
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Empirical testing of the Arbitrage Pricing Theory using data from the Johannesburg Stock Exchange
, 1986 In 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather than ...
M. Page
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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
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The relevance of coarse thinking for investors' willingness to pay: An experimental study [PDF]
People tend to think by analogies. We investigate whether thinking-by-analogy matters for investors’ willingness to pay for a risky asset in a laboratory experiment. We find that thinking-by-analogy has a strong influence when the assets in question have
Siddiqi, Hammad
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