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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

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

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

Strategic financial innovation in segmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market segments. We endogenize the asset structure as the outcome of a security design game played by the arbitrageurs. The equilibrium asset structure...

Persistent link: https://www.econbiz.de/10010746496

Arbitrage pricing and equilibrium pricing : compatibility conditions.

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001

financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … to construct a unique valuation operator which only depends on some particular price processes as well as on the …

Persistent link: https://www.econbiz.de/10008832173

Wealth-driven competition in a speculative financial market : examples with maximizing agents

Anufriev, Mikhail (contributor) - 2005

This paper demonstrates how both quantitative and qualitative results of general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk aversion assumption can be applied to the particular case of "linear" investment choices....

Persistent link: https://www.econbiz.de/10003320749

Expectations structure in asset pricing experiments

Bottazzi, Giulio (contributor); … - 2003 - [Elektronische Ressource]

Notwithstanding the recognized importance of traders' expectations in characterizing the observed market dynamics, for instance the formation of speculative bubbles and crashes on financial markets, little attention has been devoted so far by economists to a rigorous study of expectation...

Persistent link: https://www.econbiz.de/10002133504

Asset pricing model with heterogeneous investment horizons

Anufriev, Mikhail (contributor); … - 2004

particular, we consider traders who base their investment decision on different time horizons and we analyze the effect of these … differences on the price dynamics. Under suitable parameterization, the stock no-arbitrage "fundamental" price can emerge as a …

Persistent link: https://www.econbiz.de/10003211715

Price and wealth asymptotic dynamics with CRRA technical trading strategies

Anufriev, Mikhail (contributor); … - 2005

We consider a simple pure exchange economy with two assets, one riskless, yielding a constant return on investment, and one risky, paying a stochastic dividend. Trading takes place in discrete time and in each trading period the price of the risky asset is fixed by imposing market clearing...

Persistent link: https://www.econbiz.de/10003212664

Price and wealth dynamics in a speculative market with arbitrary number of generic technical traders

Anufriev, Mikhail (contributor); … - 2005

We consider a simple pure exchange economy with two assets, one riskless, yielding a constant return, and one risky, paying a stochastic dividend, and we assume trading to take place in discrete time inside an endogenous price formation setting. Traders demand for the risky asset is expressed as...

Persistent link: https://www.econbiz.de/10003209247