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This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...
Persistent link: https://www.econbiz.de/10010861453
We consider a multivariate financial market with transaction costs as in Kabanov. We study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. We prove that the value of this stochastic control problem is given by the cost of the...
Persistent link: https://www.econbiz.de/10011166462
Persistent link: https://www.econbiz.de/10011082484
Cet ouvrage présente les possibilités offertes par l'association du tableur Excel et du langage Visual Basic pour Applications (VBA) dans le traitement des problèmes de finance de marché. Après une introduction aux principes fondamentaux de la programmation en VBA sous Excel (nature et...
Persistent link: https://www.econbiz.de/10011072229
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...
Persistent link: https://www.econbiz.de/10011073059
Présente, sous forme d'exercices corrigés et suivant une approche progressive, les raisonnements fondamentaux de la théorie du portefeuille et des marchés financiers, à partir desquels s'est développée la finance moderne.
Persistent link: https://www.econbiz.de/10011074113
An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...
Persistent link: https://www.econbiz.de/10010748209
We consider a multivariate financial market with proportional transaction costs as in Kabanov (1999). We study the problem of contingent claim pricing via utility maximization as in Hodges and Neuberger (1989). Using an exponential utility function, we derive a closed form characterization for...
Persistent link: https://www.econbiz.de/10010706365
In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...
Persistent link: https://www.econbiz.de/10010706447
We consider a financial market with costs as in Kabanov and Last (1999). Given a utility function defined on ${\mathbb R}$, we analyze the problem of maximizing the expected utility of the liquidation value of terminal wealth diminished by some random claim. We prove that, under the Reasonable...
Persistent link: https://www.econbiz.de/10010706669