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Utility maximization in an illiquid market
Soner, Halil Mete; Vukelja, Mirjana - 2013
developed and used for numerical studies. No-arbitrage conditions were also discussed …
Persistent link: https://www.econbiz.de/10009750653
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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Positive alphas, abnormal performance, and illusory arbitrage
Jarrow, Robert A.; Protter, Philip E. - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 39-56
Persistent link: https://www.econbiz.de/10009712563
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No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs
Bouchard, Bruno; Huu, Adrien Nguyen - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 366-386
Persistent link: https://www.econbiz.de/10009722532
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Arbitrage with fractional Brownian motion
Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 7 (1997) 1, pp. 95-105
Persistent link: https://www.econbiz.de/10001213305
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Investment and arbitrage opportunities with short sales constraints
Carassus, Laurence - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 169-178
Persistent link: https://www.econbiz.de/10001245924
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Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns
Jarrow, Robert A. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 311-336
Persistent link: https://www.econbiz.de/10001189278
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Pairs Trading : Performance of a Relative Value Arbitrage Rule
Gatev, Evan G. - 1999
We test a Wall Street investment strategy known as pairs trading' with daily data over the period 1962 through 1997. Stocks are matched into pairs according to minimum distance in historical normalized price space. We test the profitability of several trading rules with six-month trading periods...
Persistent link: https://www.econbiz.de/10012471768
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Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets
Ito, Takatoshi - 2020
With the high-frequency data of firm quotes in the transaction platform of foreign exchanges, arbitrage profit … pairs--can be detected to emerge and disappear in the matter of seconds. The frequency and duration of such arbitrage … arbitrage opportunity and places orders for multiple transactions--two in negative spreads and three in triangular arbitrage …
Persistent link: https://www.econbiz.de/10012479230