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Bond pricing and the term structure of interest rates : a new methodology for contingent claims valuation
Heath, David C. - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 1, pp. 77-105
Persistent link: https://www.econbiz.de/10001121808
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Preferences, continuity, and the arbitrage pricing theory
Jarrow, Robert A. - In: The review of financial studies 1 (1988) 2, pp. 159-172
Persistent link: https://www.econbiz.de/10001106139
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Positive alphas and a generalized multiple-factor asset pricing model
Jarrow, Robert A.; Protter, Philip E. - In: Mathematics and financial economics 10 (2016) 1, pp. 29-48
Persistent link: https://www.econbiz.de/10011446005
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The second fundamental theorem of asset pricing : a new approach
Battig, Robert J.; Jarrow, Robert A. - In: The review of financial studies 12 (1999) 5, pp. 1219-1235
Persistent link: https://www.econbiz.de/10001434636
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Foreign currency bubbles
Jarrow, Robert A.; Protter, Philip E. - In: Review of derivatives research 14 (2011) 1, pp. 67-83
Persistent link: https://www.econbiz.de/10009272490
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A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
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Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes
Akyildirim, Erdinc - 2019
We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump …-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to … zero in time. Existence of statistical arbitrage is demonstrated via 'buy-and-hold until barrier' strategy, where the …
Persistent link: https://www.econbiz.de/10012865818
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Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
Hsieh, PeiLin Billy - 2017
This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options...
Persistent link: https://www.econbiz.de/10012974407
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Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles
Jarrow, Robert A. - 2018
This paper derives an equilibrium asset pricing model with endogenous liquidity risk, trading constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are...
Persistent link: https://www.econbiz.de/10012929504
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Capital Asset Market Equilibrium With Liquidity Risk, Portfolio Constraints, and Asset Price Bubbles
Jarrow, Robert A. - 2018
This paper derives an equilibrium asset pricing model with endogenous liquidity risk, portfolio constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are...
Persistent link: https://www.econbiz.de/10012929509