Narrow search
Showing 1 - 10 of 101
Cover Image
Arbitrage-free market models for option prices : The multi-strike case
Schweizer, Martin; Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2008
models satisfying the natural static arbitrage bounds across strikes. We next characterize absence of dynamic arbitrage for …, and hence of arbitrage-free multi-strike market models of option prices. …
Persistent link: https://www.econbiz.de/10005858204
Cover Image
Arbitrage in Stationary Markets
Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic … framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We …
Persistent link: https://www.econbiz.de/10005857775
Cover Image
Arbitrage opportunities in diverse markets via a non-equivalent measure change
Osterrieder, Jörg; Rheinländer, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2004
We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [2]. By a change of measure …-equivalent measure change which implies the existence of instantaneous arbitrage opportunities in diverse markets. For this technique to …
Persistent link: https://www.econbiz.de/10005858729
Cover Image
General Analytical Solution for Mertons Type Consumption-Investment Problems
Ferretti, Roberto G.; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We solve analytically the Merton's problem of an investor with time-additive power utility. For general state dynamics, we prove existence of two power series representations of the relevant optimal policies and value functions, which hold for all admissible risk aversion parameters. We...
Persistent link: https://www.econbiz.de/10005858514
Cover Image
Equilibrium Impact of Value-At-Risk
Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...
Persistent link: https://www.econbiz.de/10005858903
Cover Image
A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
Vanini, Paolo; Leippold, Markus; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We present a geometric approach to discrete time multiperiod mean variance portfolio opti-mization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decom-posed in an orthogonal...
Persistent link: https://www.econbiz.de/10005858942
Cover Image
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns
Connor, Gregory; Hagmann, Matthias; Linton, Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...
Persistent link: https://www.econbiz.de/10005857787
Cover Image
Limits to Arbitrage when Market Participation Is Restricted
Hens, Thorsten; Heringsy, Jean-Jacques; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial … markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with … short-lived securities,no short-selling constraints and no transaction costs. We show thatto exploit all existing arbitrage …
Persistent link: https://www.econbiz.de/10005858363
Cover Image
The impact of heterogeneous beliefs on trading volume
Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...
Persistent link: https://www.econbiz.de/10005857971
Cover Image
Irreversible Investment in General Equilibrium
Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium feedback effects of lumpy investments on optimal...
Persistent link: https://www.econbiz.de/10005858793