Das Äquivalenzprinzip der Finanzmathematik vergleicht und bewertet Zahlungsströme. Dazu ist eine Bewertung von Zeit und von Unsicherheit notwendig. Aus einem mathematischen Blickwinkel gesehen ist die Bewertung eine Äquivalenzrelation. Diese Darstellungsweise gibt einen einheitlichen formalen...

The application of a technical trading rule requires investors to determine a position size of the trades selected. In order to find an optimal position size, the Kelly criterion is widely suggested, which bets relative fractions from the remaining trading budget. Therefore, the general impact...

Using tick-level bitcoin data from February 2013 to April 2018, we show significant arbitrage spreads between global bitcoin markets. Spreads follow multiple consistent patterns. Minimum and maximum prices show significant clustering. Spreads increase during the early hours of a day (according...

Since duration works best for only small changes of the interest rate, convexity helps to improve the estimation accuracy. Traditionally, convexity is displayed with a formula, which depends on the number of outstanding payments. Closed-form solutions do exist, typically building on the work of...

This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions...