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Convenience Yield and Commodity Markets.
Lautier, Delphine - Université Paris-Dauphine - 2009
commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices of the underlying …
Persistent link: https://www.econbiz.de/10009189924
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Arbitrage and control problems in finance: A presentation.
Jouini, Elyès - Université Paris-Dauphine - 2001
price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …
Persistent link: https://www.econbiz.de/10008800246
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Arbitrage pricing and equilibrium pricing : compatibility conditions.
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …
Persistent link: https://www.econbiz.de/10008832173
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EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread.
Hervé-Mignucci, Morgan; Mansanet-Bataller, Maria; … - Université Paris-Dauphine - 2011
and industrial operators may benefit from arbitrage strategies by buying sCERs and selling EUAs (i.e. selling the EUAsCER …
Persistent link: https://www.econbiz.de/10008725851
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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs.
Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine - 2012
costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …
Persistent link: https://www.econbiz.de/10008460930
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The Introduction of the CAC40 Master Unit and the CAC40 Index Spot-Futures Pricing Relationship.
Gresse, Carole; Deville, Laurent; de Séverac, Béatrice - Université Paris-Dauphine
Persistent link: https://www.econbiz.de/10008532433
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Arbitrage and viability in securities markets with fixed trading costs.
Jouini, Elyès; Napp, Clotilde; Kallal, Hedi - Université Paris-Dauphine - 2001
existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable …
Persistent link: https://www.econbiz.de/10008800247
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Arbitrage and investment opportunities.
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine - 2001
quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …
Persistent link: https://www.econbiz.de/10008800249
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Modelling the liquidity ratio as macroprudential instrument
End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...
Persistent link: https://www.econbiz.de/10010543516
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Liquidity Regulation, Funding Costs and Corporate Lending
Bonner, Clemens - de Nederlandsche Bank - 2012
This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on banks' funding costs and corporate lending rates. Using a dataset of 26 Dutch banks from January 2008 to December 2011, I find that banks which are just above/below their...
Persistent link: https://www.econbiz.de/10010757277