The principle of non arbitrage is regarded as a golden rule in financial theory, often representing the starting point in testing market efficiency. In this paper we intend to identify all the cash and carry arbitrage opportunities existing for the DESIF5 futures contract on Sibex during the 3rd...

Within this paper, we proposed ourselves to test whether the early exercise premium for American put options is related to the moneyness, the time to maturity, the risk free rate and the volatility. Consequently, we used American put options on DESIF5 futures, the period analized being January...

In order to correctly estimate the unpredictable effects on their transaction portfolios, the banks developed stress testing methods which turned out to be a very important tool in the bank supervision process. Moreover, the supervision authorities started using stress-testing methods for...