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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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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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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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Global liquidity regulation - Why did it take so long?
Bonner, Clemens; Hilbers, Paul - de Nederlandsche Bank - 2015
The purpose of this paper is to assess the history of global liquidity regulation until the revised Basel III proposals in 2013 and to analyze the interaction of capital regulation and banks' liquidity buffers. Our analysis suggests that regulating capital is associated with declining liquidity...
Persistent link: https://www.econbiz.de/10011127195
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A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio
End, Jan Willem van den - de Nederlandsche Bank - 2013
This paper maps the empirical features of the Loan-to-Deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and analyze the interaction between loans and deposits. We...
Persistent link: https://www.econbiz.de/10010822694