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Inconsequential arbitrage
(Elsevier Science Sa, 2000-12)
We introduce the concept of inconsequential arbitrage and, in the context of a model allowing short-sales and half-lines in indifference surfaces, prove that inconsequential arbitrage is sufficient for existence of ...
Endogenous collateral: arbitrage and equilibrium without bounded short sales
(Escola de Pós-Graduação em Economia da FGV, 2001-05-01)
We study the implications of the absence of arbitrage in an two period economy where default is allowed and assets are secured by collateral choosen by the borrowers. We show that non arbitrage sale prices of assets are ...
Principles for modelling financial markets
(APPLIED PROBABILITY TRUST, 1996)
The paper introduces an approach focused towards the modelling of dynamics of financial markets. It is based on the three principles of market clearing, exclusion of instantaneous arbitrage and minimization of increase of ...
Arbitrage-free prediction of implied volatility: a comparison study
(2020-07-30)
Este trabalho apresenta uma predição livre de arbitragem da volatilidade implícita de um conjunto de opções com a mesma maturidade. O método consiste em prever os parâmetros da parametrização SABR, evitando restrições não ...
Statistical arbitrage with default and collateral
(Elsevier Science Sa, 2010-07)
This paper studies the implications of the absence of statistical arbitrage opportunities in a two-period incomplete market economy where default is allowed but there are collateral requirements. Modified versions of the ...
Análise comparativa da utilização da Arbitrage Pricing Theory na determinação do retorno e da volatilidade de ativos financeiros
(Universidade Federal de Minas GeraisUFMG, 2006-02-20)
Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
(2017-11-08)
We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining ...
On the convergence to homogeneous expectations when markets are complete
(Blackwell Publ Ltd, 1999-05)