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Survival, arbitrage, and equilibrium with financial derivatives in constrained asset markets
Hahn, Guangsug; Won, Dongchul - In: Seoul journal of economics 25 (2012) 4, pp. 441-461
Persistent link: https://www.econbiz.de/10010219956
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Credit Bubbles in Arbitrage Markets : The Geometric Arbitrage Approach to Credit Risk
Farinelli, Simone - 2019
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …
Persistent link: https://www.econbiz.de/10012904838
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Complete and incomplete markets with short-sale constraints
Giménez, Eduardo L. - 2001
This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard definitions of complete and incomplete markets. In this constrained set-up,two threshold values with familiar properties arise.The case of a zero short-sale bound set on some...
Persistent link: https://www.econbiz.de/10011316880
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The economics of financial markets
Bailey, Roy E. - 2005 - 1. publ.
Persistent link: https://www.econbiz.de/10002166143
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Arbitrage pricing in non-Walrasian financial markets
Carvajal, Andrés - In: Economic theory : official journal of the Society for … 66 (2018) 4, pp. 951-978
Persistent link: https://www.econbiz.de/10012010925
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An arbitrage perspective of the purpose and structure of financial markets
Dubil, Robert - 2008
Persistent link: https://www.econbiz.de/10003763467
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Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
Tavin, Bertrand - 2017
In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal … distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in … terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution …
Persistent link: https://www.econbiz.de/10012975101
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Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
Tavin, Bertrand - 2016
In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal … distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in … terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution …
Persistent link: https://www.econbiz.de/10013008086
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A computational study on general equilibrium pricing of derivative securities
Thijssen, Jacco J. J. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003481715
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A computational study on general equilibrium pricing of derivative securities
Thijssen, Jacco J. J. - In: Annals of finance 4 (2008) 4, pp. 505-523
Persistent link: https://www.econbiz.de/10003737208