Narrow search
Showing 1 - 10 of 428
Cover Image
Hedging for the Long Run
Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that … illustrating and clarifying several points on asset price bubbles and the economics of arbitrage. …
Persistent link: https://www.econbiz.de/10004984487
Cover Image
A Unifying Approach to Asset Pricing
Platen, Eckhard - Finance Discipline Group, Business School - 2008
paper explains that pricing by classical no-arbitrage arguments is, in general, not unique and may lead to overpricing. In …
Persistent link: https://www.econbiz.de/10004984601
Cover Image
A benchmark model for financial markets
Platen, Eckhard - 2001
to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free … portfolio ; arbitrage amount …
Persistent link: https://www.econbiz.de/10009614289
Cover Image
Inference, arbitrage, and asset price volatility
Adrian, Tobias - In: Journal of financial intermediation 18 (2009) 1, pp. 49-64
Persistent link: https://www.econbiz.de/10003813178
Cover Image
Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …
Persistent link: https://www.econbiz.de/10002101431
Cover Image
Option Pricing in an Investment Risk-Return Setting
Kim, Young Shin - 2019
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...
Persistent link: https://www.econbiz.de/10012865720
Cover Image
The term structure of inflation expectations
Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009
We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model...
Persistent link: https://www.econbiz.de/10003812556
Cover Image
Financial intermediation, asset prices, and macroeconomic dynamics
Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2010
Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...
Persistent link: https://www.econbiz.de/10003948219
Cover Image
Leverage asset pricing
Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...
Persistent link: https://www.econbiz.de/10009787499
Cover Image
Regression-Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias - 2014
We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10013068063