Narrow search
Showing 1 - 10 of 3,583
Cover Image
Market Selection and the Absence of Arbitrage
Elmiger, Sabine - 2021
A central conjecture of behavioural finance is that arbitrage opportunities appear as a result of systematic irrational … investment behaviour and persist since real-world arbitrage trades actually involve costs and risks due to market frictions and … non-fundamental risk. This paper shows that the no-arbitrage condition can emerge from the market selection process even …
Persistent link: https://www.econbiz.de/10013242357
Cover Image
Dynamic Asset Allocation with Stochastic Interest Rates and Transaction Costs
Leirvik, Thomas - 2011
We investigate the optimal investment problem when the interest rate is stochastic and the investor must pay proportional transaction costs when buying and selling the risky assets. We first consider a portfolio of bonds and transaction costs.We then add a stock to the portfolio, and analyze the...
Persistent link: https://www.econbiz.de/10013128446
Cover Image
Individual investors and suboptimal early exercises in the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014
This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...
Persistent link: https://www.econbiz.de/10010412103
Cover Image
Performance Measurement for Option Portfolios in a Stochastic Volatility Framework
Baule, Rainer - 2019
Measuring the performance of stock portfolios that include options is challenging due to options' nonlinearity in the underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we provide a theoretically rigorous derivation of the...
Persistent link: https://www.econbiz.de/10012900121
Cover Image
The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective
Halperin, Igor - 2020
Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...
Persistent link: https://www.econbiz.de/10012826182
Cover Image
The Basis Goes Stochastic : A Jump-Diffusion Model for Financial Risk Applications
Li, Minqiang - 2016
There are several pricing and risk model applications where the assumption of a deterministic LIBOR-OIS basis can lead to severe mispricing. By modeling such a basis using a jump-diffusion process, we show how stochastic basis can impact the valuation of specific deals such as zero-coupon swaps,...
Persistent link: https://www.econbiz.de/10012984693
Cover Image
Arbitrage, Idiosyncratic Risk and the Rationality of Discounts on Closed-End Funds
Gemmill, Gordon - 2011
is an arbitrage cap on its premium resulting from new issues. This censors the distribution of the premium and causes its …
Persistent link: https://www.econbiz.de/10013128561
Cover Image
Anomalous Deal Return Capture : A Cross-Sectional Study of Three Hypothetical Global Merger Risk Arbitrage Portfolios 2000-2016
McCarron, Daniel - 2017
This paper examines the annual risks and returns of three disparate, hypothetical merger arbitrage portfolio strategies … December 2016 time period. Previously written and undoubtedly the most prominent literature into M&A and merger arbitrage … [Schleifer & Vishny ‘97], [Mitchell & Pulvino ‘01] and [Baker & Savasoglu ‘02] focus on the limits of pure arbitrage the creation …
Persistent link: https://www.econbiz.de/10012958921
Cover Image
Left-Tail Momentum : Underreaction to Bad News, Costly Arbitrage and Equity Returns
Atilgan, Yigit - 2020
less investor attention and that are costlier to arbitrage …
Persistent link: https://www.econbiz.de/10012853459
Cover Image
Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading
Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23
. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …
Persistent link: https://www.econbiz.de/10012695328