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Two essays on general equilibrium foundation of finance

Siwik, Thomas - 2002

portfolio returns. Non-monotonicity can even lead to equilibrium prices permitting simple arbitrage opportunities.In the two … interest parity can generally not be regarded as a no-arbitrage condition and can be considered as an equilibrium condition … only non-generically. The true arbitrage-free correlation between the exchange rate, interest rates, and security prices is …

Persistent link: https://www.econbiz.de/10009452580

Modeling Security and Cooperation in Wireless Networks Using Game Theory

Kamhoua, Charles A. K. - 2011

This research involves the design, development, and theoretical demonstration of models resulting in integrated misbehavior resolution protocols for ad hoc networked devices. Game theory was used to analyze strategic interaction among independent devices with conflicting interests. Packet...

Persistent link: https://www.econbiz.de/10009460501

The Red King Effect: When the slowest runner wins the coevolutionary race

Bergstrom, Carl T.; Lachmann, Michael - 2003

Mutualisms provide benefits to those who participate in them. As a mutualism evolves, how will these benefits come to be allocated among the participants? We approach this question using evolutionary game theory and explore the ways in which the coevolutionary process determines the allocation...

Persistent link: https://www.econbiz.de/10009460792

Public Goods with Punishment and Abstaining in Finite and Infinite Populations

Hauert, Christoph; Traulsen, Arne; Brandt, Hannelore; … - 2008

Organismic and Evolutionary Biology

Persistent link: https://www.econbiz.de/10009431981

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

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

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

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

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

'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