Results 191 to 200 of about 7,005,793 (301)
Term Structure Shapes and Their Consistent Dynamics in the Svensson Family
Mathematical Finance, EarlyView.ABSTRACT We examine the shapes attainable by the forward‐ and yield‐curve in the widely‐used Svensson family, including the Nelson‐Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the parameter space of each family according to these shapes.
Martin Keller‐Ressel, Felix Sachse
wiley +1 more source
How corporate financialization affects main business performance-Empirical evidence based on a dynamic panel threshold model. [PDF]
PLoS OneChen B, Li J, Zhang J.
europepmc +1 more source
Bitcoin: Exchange Rate Parity, Risk Premium, and Arbitrage Stickiness
, 2015 Huijian Dong, Weiguo Dong
semanticscholar +1 more source
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
Mathematical Finance, EarlyView.ABSTRACT In this article, we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no‐arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions.
Dennis Schroers
wiley +1 more source
Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, EarlyView.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley +1 more source
A new pricing method for integrated energy systems based on geometric Brownian motions under the risk-neutral measure. [PDF]
HeliyonLiu J, Zhou L, Yu H.
europepmc +1 more source
Arbitrage-Free Estimation of the Risk-Neutral Density from the Implied Volatility Smile
, 2002 Bernhard Brunner, Reinhold Hafner
openalex +1 more source
Mathematical Finance, EarlyView.ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damieb Ackerer +2 more
wiley +1 more source