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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

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

Incomplete markets with endogenous portfolio constraints and redundant assets

Hahn, Guangsug - In: Seoul journal of economics 27 (2014) 4, pp. 469-488

Persistent link: https://www.econbiz.de/10010472777

Incomplete markets with no Hart points

Anderson, Robert M.; Raimondo, Roberto C. - In: Theoretical economics : TE ; an open access journal in … 2 (2007) 2, pp. 115-133

We provide a geometric test of whether a general equilibrium incomplete markets (GEI) economy has Hart points---points at which the rank of the securities payoff matrix drops. Condition (H) says that, at each nonterminal node, there is an affine set (of appropriate dimension) that intersects all...

Persistent link: https://www.econbiz.de/10011702592

Equilibrium and arbitrage in incomplete asset markets with fixed prices

Herings, Peter Jean-Jacques; Polemarchakis, Heraklis M. - In: Journal of mathematical economics 37 (2002) 2, pp. 133-155

Persistent link: https://www.econbiz.de/10001703993

Arbitrage and equilibrium with portfolio contraints

Cornet, Bernard; Gopalan, Ramu - In: Economic theory : official journal of the Society for … 45 (2010) 1/2, pp. 227-252

Persistent link: https://www.econbiz.de/10008655604

Ergodic Markov equilibrium with incomplete markets and short sales

Braido, Luis H. B. - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 1, pp. 41-57

This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium...

Persistent link: https://www.econbiz.de/10011689003

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

Arbitrage concepts under trading restrictions in discrete-time financial markets

Fontana, Claudio; Runggaldier, Wolfgang J. - In: Journal of mathematical economics 92 (2021), pp. 66-80

Persistent link: https://www.econbiz.de/10012654141

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

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