A general methodology to price and hedge derivatives in incomplete markets
, 1999 We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle.
Aurell, E. +4 more
core +1 more source
Dynamic trading under integer constraints [PDF]
arXiv, 2017 In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the usual real quantity assumption. For finite probability spaces and rational asset prices this has little effect on the core of the theory of no-arbitrage pricing.
arxiv
Perbandingan Keakuratan Capital Assets Pricing Model (Capm) Dan Arbitrage Pricing Theory (Apt) Dalam Menentukan Pilihan Berinvestasi Pada Saham Jakarta Islamic Index (JII) [PDF]
, 2018 The formulation of the problem in this study was how the accuracy of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Determining the Choice of Investing in the Jakarta Islamic Index (JII).
Safitri, E. (Ervita) +2 more
core
A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints [PDF]
This paper presents a unified framework for examining the general equilibrium effects of transactions costs and trading constraints on security market trades and prices.
Edwin Neave, Frank Milne
core
A primer on reflexivity and price dynamics under systemic risk [PDF]
arXiv, 2013 A simple quantitative example of a reflexive feedback process and the resulting price dynamics after an exogenous price shock to a financial network is presented. Furthermore, an outline of a theory that connects financial reflexivity, which stems from cross-ownership and delayed or incomplete information, and no-arbitrage pricing theory under systemic
arxiv
On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria [PDF]
The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based ...
Igor V. Evstigneev +2 more
core
Anchoring in Takeovers Under Mandatory Bid Rule: Evidence From an Emerging Market
Economics of Transition and Institutional Change, EarlyView.ABSTRACT This article documents the existence of an anchoring bias in the pricing and acceptance of takeover bids in a blockholder regime where the mandatory bid rule applies. Our analysis, performed on the Romanian market for corporate control, shows that the 52‐week high price of the target and the pricing of direct privatisations conducted by the ...
Adrian Pop, Diana Pop
wiley +1 more source
Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk [PDF]
arXiv, 2014 We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition for corporate bonds, as well as ...
arxiv
Trade costs and the integration of British West Africa in the global economy, c. 1840–1940
The Economic History Review, EarlyView.Abstract Despite the essential role of trade for African economies, in the extensive literature on the historical evolution of international trade costs, Africa is still missing. In this article, we contribute to filling this gap by (1) providing the first estimates of British West Africa's trade costs with Britain c.
Federico Tadei +2 more
wiley +1 more source
Profit Maximization In Arbitrage Loops [PDF]
arXivCyclic arbitrage chances exist abundantly among decentralized exchanges (DEXs), like Uniswap V2. For an arbitrage cycle (loop), researchers or practitioners usually choose a specific token, such as Ether as input, and optimize their input amount to get the net maximal amount of the specific token as arbitrage profit.
arxiv