Results 61 to 70 of about 855,132 (178)
The Arbitrage Pricing Theorem with Incomplete Preferences [PDF]
This paper proves existence of equilibrium and the arbitrage pricing theorem for an asset exchange economy, where the individual's preferences may be incomplete or intransitive.
David Kelsey, Erkan Yalcin
core
Black-Scholes equation from Gauge Theory of Arbitrage [PDF]
arXiv, 1997 We apply Gauge Theory of Arbitrage (GTA) {hep-th/9710148} to derivative pricing. We show how the standard results of Black-Scholes analysis appear from GTA and derive correction to the Black-Scholes equation due to a virtual arbitrage and speculators reaction on it.
arxiv
Configuration and operation model for integrated energy power station considering energy storage
IET Renewable Power Generation, EarlyView.Integration of energy storage in wind and photovoltaic stations improves power balance and grid reliability. A two‐stage model optimizes configuration and operation, extending storage lifespan from 4.93 to 7.79 years and increasing investment return by 2.4%.
Qingxin Li +3 more
wiley +1 more source
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs [PDF]
, 2014 We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results and methods developed in Carbone et al. (2008) and El Karoui and Huang (1997)
Nie, Tianyang, Rutkowski, Marek
core
Volatility smile and stochastic arbitrage returns [PDF]
arXiv, 2004 The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage
arxiv
Functional Ecology, EarlyView.Read the free Plain Language Summary for this article on the Journal blog. Abstract Mycoheterotrophy, whereby plants acquire both carbon and nutrients from a fungal partner, is an evolutionarily puzzling phenomenon. According to biological market models, mycoheterotrophs have nothing to offer and thus should be shunned as trading partners by ...
Brian S. Steidinger
wiley +1 more source
Autoregressive multifactor APT model for U.S. Equity Markets [PDF]
Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate linear regression. We choose three sets of factors – Market specific, firm specific, and an autoregressive return term to explain returns ...
Malhotra, Karan
core +1 more source
The Design of Arbitrage-Free Data Pricing Schemes [PDF]
arXiv, 2016 Motivated by a growing market that involves buying and selling data over the web, we study pricing schemes that assign value to queries issued over a database. Previous work studied pricing mechanisms that compute the price of a query by extending a data seller's explicit prices on certain queries, or investigated the properties that a pricing function
arxiv
Global Policy, EarlyView.ABSTRACT As central banks move to adopt digital currencies (CBDCs), two issues arise: the implications for monetary sovereignty and the potential efficiencies from cross‐border interoperability. The former is particularly a concern for emerging market central banks, while the latter affects all states. Emerging markets have used capital flow management
Yanyang Chu, Nina Srinivasan Rathbun
wiley +1 more source
Who captures whom? Regulatory misperceptions and the timing of cognitive capture
Regulation &Governance, Volume 17, Issue 1, Page 43-60, January 2023., 2023 Abstract To explain cognitive capture, economic sociologists often examine the structure of relationships between regulators and market participants. This paper argues that the nature of regulators' misperception should be subject to analysis as well. Different types of misperceptions develop over timelines of varying lengths.
Georg Rilinger
wiley +1 more source