Narrow search
Showing 1 - 10 of 5,146
Cover Image
Asset arbitrage and the price of oil
Arora, Vipin; Tyers, Rod - In: Economic Modelling 29 (2012) 2, pp. 142-150
asset arbitrage made a large contribution to the high pre-GFC oil price. …
Persistent link: https://www.econbiz.de/10010573330
Cover Image
Market imperfections, equilibrium and arbitrage
Jouini, Elyès - EconWPA - 2003
The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …
Persistent link: https://www.econbiz.de/10005076947
Cover Image
ECU interest rates and ECU basket adjustments: An arbitrage pricing approach
Klein, Martin; Mueller, Sigrid - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028492
Cover Image
Renteneinkommen auf dem Rohölmarkt : Analyse der Preiskomponenten
Wakeel, Latif A. al- - 1992
Persistent link: https://www.econbiz.de/10000853804
Cover Image
Das Management von Zinsänderungsrisiken : theoret. Ansätze u. ihre empir. Überprüfung für d. dt. Rentenmarkt
Bußmann, Johannes - 1988
Persistent link: https://www.econbiz.de/10000743472
Cover Image
An Outline of the Existing Literature on Monetary Economics in India
Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2010
Goal (2001) applied the theory of Foster (1992) and Chona (1976) applied the theory of Ahrensdorf and Thasan (1960). This …
Persistent link: https://www.econbiz.de/10008533251
Cover Image
On Matching Book: A Problem in Banking and Corporate Finance
Shubik, M.; Sobel, M. J. - In: Management Science 38 (1992) 6, pp. 827-839
In each of the asset and liability markets in which the banking firm is an intermediary, typically there are instruments with differing maturities. The bank matching book problem is to manage the term structures of assets and liabilities. In our first model, the bank borrows and lends only short...
Persistent link: https://www.econbiz.de/10009218085
Cover Image
Convergence of the equilibrium prices in a family of financial models
Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003
necessarily convergence of the arbitrage pricing intervals in that context. We prove here that we have very good convergence …
Persistent link: https://www.econbiz.de/10010861455
Cover Image
Risikostrukturen am deutschen Aktienmarkt
Verleger, Arnd - 1993
Persistent link: https://www.econbiz.de/10004147620