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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - 2014
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...
Persistent link: https://www.econbiz.de/10010393225
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Arbitrage pricing theory
Huberman, Gur - 2005
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …
Persistent link: https://www.econbiz.de/10003085740
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In-Arrears Term Structure Products : No Arbitrage Pricing Bounds and the Convexity Adjustments
Sandmann, Klaus - 2012
When pricing an in-arrears term structure product, the valuation usually boils down to determining the price of a vanilla product and of some additional part. To computer the price of the additional part, sometimes a specific term structure (like Gaussian or LIBOR) is assumed. Sometimes...
Persistent link: https://www.econbiz.de/10013116713
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Arbitrage Pricing Theory and the Capital Asset Pricing Model : A Comparative Study in the Indian Scenario
Raghuram, G. - 2017
A comparative study of the Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) was done in the … , rAPT, rCAPM are the actual returns, APT predicted returns and CAPM predicted returns respectively. The resulting alpha … explain the CAPM residuals, the CAPM was not able to significantly explain the APT residuals. Thus, the APT emerged the …
Persistent link: https://www.econbiz.de/10012962044
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Arbitrage Pricing Theory in Ergodic Markets
Frahm, Gabriel - 2017
Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT … enables me to apply the theory of Hilbert spaces in a natural way. The expected return on any asset can always be approximated …
Persistent link: https://www.econbiz.de/10012944667
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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
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Arbitrage Pricing under Uncertainty
Rocciolo, Francesco - 2021
sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …
Persistent link: https://www.econbiz.de/10013238089
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The role of factor strength and pricing errors for estimation and inference in asset pricing models
Pesaran, M. Hashem; Smith, Ron - 2019
In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...
Persistent link: https://www.econbiz.de/10012118575
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Chapter 13. Bond Pricing and the Macroeconomy
Duffee, Gregory R. - 2013
This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...
Persistent link: https://www.econbiz.de/10014025365
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Arbitrage Pricing Theory
Huberman, Gur; Wang, Zhenyu - 2022
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …
Persistent link: https://www.econbiz.de/10013294606