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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Mellios, Constantin; Six, Pierre; Anh Ngoc Lai - In: European journal of operational research : EJOR 250 (2016) 2, pp. 493-504
Persistent link: https://www.econbiz.de/10011441684
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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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Optimal Investment, Derivative Demand and Arbitrage Under Price Impact
Anthropelos, Michail - 2018
neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the … of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited … only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage …
Persistent link: https://www.econbiz.de/10012906898
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An Intuitive Introduction to Finance and Derivatives : Concepts, Terminology and Models
Backwell, Alex - 2023
-- Chapter 4 Modern Portfolio Theory -- Chapter 5 Asset Pricing -- Chapter 6 Introduction to Derivatives -- Chapter 7 Arbitrage … investment risk, market pricing and market efficiency, arbitrage, hedging, and the pricing and application of financial …
Persistent link: https://www.econbiz.de/10014229313
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Stock index futures arbitrage in emerging markets : Polish evidence
Białkowski, Je̜drzej; Jakubowski, Jacek - In: International review of financial analysis 17 (2008) 2, pp. 363-381
Persistent link: https://www.econbiz.de/10003765100
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The individual stocks arbitrage : evidence from emerging Polish market
Białkowski, Je̜drzej; Jakubowski, Jacek - 2004
Persistent link: https://www.econbiz.de/10002176961
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La speculazione su futures e options : strumenti evoluti alla portata di tutti
Milanesi, Andrea - 1997
Persistent link: https://www.econbiz.de/10000167827
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Speculation and hedging using options on futures contracts
Jacobson, Laurence R. - 1983
Persistent link: https://www.econbiz.de/10003057934
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Hedge and Speculate : Replicating Option Payoffs with Limit and Market Orders
Cartea, Álvaro - 2017
We consider an agent who takes a short position in a contingent claim and employs limit orders (LOs) and market orders (MOs) to trade in the underlying asset to maximize expected utility of terminal wealth. The agent solves a combined optimal stopping and control problem where trading has...
Persistent link: https://www.econbiz.de/10012958754