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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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Arbitrage in skew Brownian motion models
Rossello, Damiano - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 50-56
Persistent link: https://www.econbiz.de/10009501701
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The amendment and empirical test of arbitrage pricing models
Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; … - In: Journal of applied finance & banking 1 (2011) 1, pp. 163-177
securities return caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage … reasonable explanation level for securities pricing. -- arbitrage pricing models ; skewness ; Kurtosis ; empirical analysis …
Persistent link: https://www.econbiz.de/10009241446
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No-arbitrage bounds for financial scenarios
Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European journal of operational research : EJOR 236 (2014) 2, pp. 657-663
Persistent link: https://www.econbiz.de/10010366120
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Ratings arbitrage and structured products
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 80-86
Persistent link: https://www.econbiz.de/10009671705
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Rate of arbitrage and reconciled beliefs
Feinberg, Yossi (contributor); Scarsini, Marco (contributor) - In: Economics bulletin : EB (2003)
Persistent link: https://www.econbiz.de/10002490858
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Pricing derivative securities : an interactive, dynamic environment with Maple V and Matlab
Prisman, Eliezer Z.; Prisman, Eliezer Zeev - 2000
Persistent link: https://www.econbiz.de/10001484042
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Mispricing and costly arbitrage
Sadka, Ronnie; Scherbina, Anna - In: Journal of investment management : JOIM 8 (2010) 1, pp. 87-99
Persistent link: https://www.econbiz.de/10003966814
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The handbook of pairs trading : strategies using equities, options, and futures
Ehrman, Douglas S. - 2006
Persistent link: https://www.econbiz.de/10002913465
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No-arbitrage principle in conic finance
Vazifedan, Mehdi; Zhu, Qiji Jim - In: Risks : open access journal 8 (2020) 2/66, pp. 1-34
In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …
Persistent link: https://www.econbiz.de/10012293018