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Beiträge zur Analyse von Finanzmarktmodellen mit Transaktionskosten
Claas Prelle - 2007
Gegenstand dieser Arbeit ist die Untersuchung von Finanzmarktmodellen, die für den An- und Verkauf von Finanzgütern anfallende Kosten berücksichtigen, sogenannte Transaktionskosten. Zentrales Thema ist dabei ein Portfoliooptimierungsproblem in einem Black-Scholes-Modell mit n Aktien bei...
Persistent link: https://www.econbiz.de/10009429000
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Stochastic modelling of financial processes with memory and semi-heavy tails
Pesee, Chatchai - 2005
This PhD thesis aims to study financial processes which have semi-heavy-tailed marginal distributions and may exhibit memory. The traditional Black-Scholes model is expanded to incorporate memory via an integral operator, resulting in a class of market models which still preserve the...
Persistent link: https://www.econbiz.de/10009438240
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Scaling properties of financial time series
Schreier, David - 2007
This thesis will first criticize standard financial theory. The focus will be on return distributions, efficient market hypothesis and the independence of returns. Part two gives the intuition to look at markets in a different view. Namely the one proposed by B. Mandelbrot who has shown that...
Persistent link: https://www.econbiz.de/10009467109
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Applications of change of numéraire for option pricing
Le Roux, Gawie - 2007
andSchachermayer’s Mathematics of Arbitrage. The technique is then applied to financial pricingproblems. The right choice of numéraire …
Persistent link: https://www.econbiz.de/10009442166
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The Inconvenience Cost: A Portfolio Approach to Non-Convergence Between Cash and Futures Prices
Adjemian, Michael K.; Kuethe, Todd H.; Kunda, Eugene L. - 2010
, significant arbitrage opportunities over the second halfof the last decade. Yet, terminal elevator operators—perhaps the only … demonstrates conditions under which a profit maximizing warehouseman foregoes available arbitrage. We find that making delivery …
Persistent link: https://www.econbiz.de/10009446079
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Possibilidade de arbitragem no mercado de câmbio brasileiro
Cassuce, Francisco Carlos da Cunha; Muller, Carlos … - 2006
expirations of future contracts, identifying, thus, the chance to get profits with arbitrage. The results had shown more that the …, it is detected possibility to get profits with arbitrage in the market of Brazilian exchange. …
Persistent link: https://www.econbiz.de/10009446489
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Agricultural Arbitrage, Adjustment Costs, and the Intensive Margin
Tack, Jesse B.; LaFrance, Jeffrey T. - 2010
supports these assumptions. An empirical application of the arbitrage equations providesevidence that risk aversion and …
Persistent link: https://www.econbiz.de/10009446523
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Water rights for variable supplies
Freebairn, John; Quiggin, John - 2006
The relative merits of different systems of property rights to allocate water among different extractive uses are evaluated for the case where variability of supply is important. Three systems of property rights are considered. In the first, variable supply is dealt with through the use of water...
Persistent link: https://www.econbiz.de/10009447968
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'Seeing the market': Technical analysis in trading styles
Mayall, Margery - 2006
Whilst financial markets are not strangers to academic and professional scrutiny, they still remain epistemologically contested. For individuals trying to profit by trading shares, this uncertainty is manifested in the varying trading styles which they are able to utilize. This paper examines...
Persistent link: https://www.econbiz.de/10009448177
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
Lin, Cheng-I Eric - 2007
by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy … return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for … argue that the increase in trading volume and return volatility may be attributed to index arbitrage transactions as …
Persistent link: https://www.econbiz.de/10009475070