Results 271 to 280 of about 5,889 (311)
Some of the next articles are maybe not open access.
2007
We consider an asset market traded three types of assets: the risk–free asset, the market portfolio and derivatives written on the market portfolio return. We determine a sufficient condition to guarantee that noise risk monotonically changes their derivatives. The condition is that Arrow–Pratt absolute risk aversion is decreasing and convex.
Osaki, Yusuke, Osaki, Yusuke
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We consider an asset market traded three types of assets: the risk–free asset, the market portfolio and derivatives written on the market portfolio return. We determine a sufficient condition to guarantee that noise risk monotonically changes their derivatives. The condition is that Arrow–Pratt absolute risk aversion is decreasing and convex.
Osaki, Yusuke, Osaki, Yusuke
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Pricing Temperature Derivatives
2012In this chapter, pricing formulas for weather derivatives on various temperature indices will be derived. The model that developed in the previous chapter described the daily dynamics of the temperature. Hence, it can be applied in order to estimate the various indices.
Antonis K. Alexandridis +1 more
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Derivatives and arbitrage pricing
2011A financial derivative is a contract whose value depends on one or more securities or assets, called underlying assets. Typically the underlying asset is a stock, a bond, a currency exchange rate or the quotation of commodities such as gold, oil or wheat.
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Price Arbitrage for DeFi Derivatives
2023 IEEE International Conference on Blockchain and Cryptocurrency (ICBC), 2023Ivan Vakhmyanin, Yana Volkovich
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Derivation of the Price Formula
2016So far it has been assumed that the supplier and buyer cooperate to develop the price formula. The supplier will then submit a quotation for all the price elements of the price formula. This procedure remains the main principle of the K-Method. This procedure is important and is the only way to apply the K-Method in a sustainable way so that the ...
Daniel Kossmann, Donald Kossmann
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Derivative pricing with options.
2017This thesis is not available on this repository until the author agrees to make it public. If you are the author of this thesis and would like to make your work openly available, please contact us: thesis@repository.cam.ac.uk.
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Price calculation of derivatives
2015The derivatives market is the financial market for derivatives, financial instruments like futures contracts or options, which are derived from other forms of assets. The market can be divided into two, that for exchange-traded derivatives and that for over-the-counter derivatives.
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Noncausal affine processes with applications to derivative pricing
Mathematical Finance, 2023Christian Gouriéroux, Yang Lu
exaly