no arbitrage
Pathwise no-arbitrage in a class of Delta hedging strategies
... This paper is organized as follows. In Section “Strictly pathwise hedging of exotic derivatives”, we introduce a general framework for continuous-time trading by means of F¨ollmer’s pathwise Itˆo calculus. Based on an ...
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Arbitrage in the foreign exchange market: turning on the microscope
... risk-free arbitrage opportunities, at least when allowance is made for transaction ...no arbitrage is likely to be reasonably mild or valid in several contexts in finance, its violations can be rationalized ...
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Arbitrage-Free Binomial Models of the Term Structure
... Previously, we analyzed the Vasicek (1977) model of the default-free term structure of interest rates. That model assumed specific parametric forms for the dynamics of the short- term interest rate and for the market ...
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Uses and Misuses of Arbitrage in Financial Theory, and a Suggested Alternative
... of arbitrage pricing include transactions that cannot be arbitraged in some instances, a more egregious violation in the use of the term is the arbitrage-free ...of arbitrage, but rather the ...
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Arbitrage Opportunities: Anatomy and Remediation
... an arbitrage op- portunity presents itself, market participants will presumably compete for its execution until the value is fully ...no arbitrage condition and is one of the defining characteristics of a ...
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Mancin, Jacopo (2017): Topics of financial mathematics under model uncertainty. Dissertation, LMU München: Fakultät für Mathematik, Informatik und Statistik
... In [73], which was the main reference for arbitrage free pricing in the G -setting at the beginning of this thesis, the author studied a notion of robust no arbitrage, assuming the asset[r] ...
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Fact and Fictions in Fx Arbitrage Processes
... active arbitrage opportunity results in a sequence of active arbitrages that converge onto a no-arbitrage en- semble of exchange ...active arbitrage chains ...no arbitrage opportunities, the ...
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A Second Look at Post Crisis Pricing of Derivatives Part I: A Note on Money Accounts and Collateral
... Derivative transactions today come with an attached collateral account and recognition for the inherent counterparty default risk. The post-crisis paradigm for derivatives pricing dictates that collateralized with cash ...
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Arbitrage Opportunities: Anatomy and Remediation
... an arbitrage opportunity arises in a market setting, participants will presumably compete for its execution until the value is fully ...no arbitrage condition and is one of the defining characteristics of a ...
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Fact and Fiction in FX Arbitrage Processes
... on arbitrage operations in foreign exchange (FX) ...different arbitrage strategies in FX markets. Classical arbitrage exploits differences between quoted exchange rates and the exchange rates implied ...
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A note on two notions of arbitrage
... inconsequential arbitrage, introduced by Page, Wooders and Monteiro ...inconsequential arbitrage condition is stronger than the assumption that U is ...
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Arbitrage, equilibrium and nonsatiation
... As a prerequisite to proving existence in an exchange economy satisfying weak nonsatiation only, we must extend Werner's price no-arbitrage con- dition to allow for weak nonsatiation - and in particular, to allow ...
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Arbitrage-free pricing of derivatives in nonlinear market models
... an arbitrage opportunity associated with trad- ...an arbitrage opportunity and hence the simplest definition of no-arbitrage, sometimes abbreviated as NA (see, for instance, part (iv) in Definition ...
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Arbitrage Trading Strategy in Gold Futures
... an arbitrage trading strategy in the gold market where you are "long" gold overnight, between the London Fix each ...extracts arbitrage profits from a price series with mean ...
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Arbitrage bots in experimental asset markets
... A benevolent view on arbitrageurs in markets is that they establish the law-of-one- price and further enhance the equilibration process. In fact, arbitrage is made in real time by selling high and buying low. ...
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Toxic arbitrage
... an arbitrage begins, when it terminates, how it terminates (with a trade or a quote update), and we must track prices after the arbitrage terminates (to identify toxic arbitrage opportunities; see ...
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Appraisal : shareholder remedy or litigation arbitrage?
... The dissidents, however, may welcome the long duration of these cases because companies are required to pay prejudgment interest on the appraisal award at a rate of 5 percent plus the federal discount rate, as discussed ...
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Are Leveraged Buyouts a Form of Governance Arbitrage?
... Since publicly-traded companies are unlikely to be free to match the management advantages of private equity funds over their portfolio companies, “governance arbitrage” may always[r] ...
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Nonlinear Pricing with Arbitrage: On the Role of Correlation
... conduct arbitrage, that is, to reallocate the goods they bought among themselves at the loss of the seller’s ...to arbitrage on their purchase, that is the goods is allowed to be reallocated within the ...
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Racial Disparity in Social Spatiality: Usage of National Parks and Opera Attendance
... Hedge funds are private investment funds characterized by unconventional strategies. This thesis employed multi-factor CAPM to evaluate the performance, or manager skill of hedge funds investment segments by using ...
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