Buscar
Mostrando ítems 11-20 de 472
The role of no-arbitrage on forecasting: lessons from a parametric term structure model
(Escola de Pós-Graduação em Economia da FGV, 2007-10-01)
Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, ...
Impreso
(Centro de Estudios de Historia de México CARSO, 2013)
The Black-Scholes type financial models and the arbitrage opportunitiesThe Black-Scholes type financial models and the arbitrage opportunities
(2009-02-25)
By using the conservation laws concept, we study certain financial models similar tothe Black–Scholes model. We show that without complement limitations such modelscan have two or more volatilities. This fact imposes several ...
The Black-Scholes type financial models and the arbitrage opportunitiesThe Black-Scholes type financial models and the arbitrage opportunities
(2009-02-25)
By using the conservation laws concept, we study certain financial models similar tothe Black–Scholes model. We show that without complement limitations such modelscan have two or more volatilities. This fact imposes several ...
Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2011-07-01)
This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, where it appears as a marginal rate of substitution, and from the arbitrage perspective, where it appears as the Radon – ...
Análise dos retornos e características da estratégia de risk arbitrage no Brasil
(2016-01-19)
O presente trabalho tem o objetivo de analisar os retornos de um portfólio investido na estratégia de risk arbitrage no Brasil entre 2004 e 2014, determinando se esta estratégia proporciona retornos anormais. De setembro ...
Digital asset arbitrage
(2018-05-29)
The study examines the risk and reward potential of arbitrage in the digital asset market. Specifically, it looks at exchange to exchange and statistical arbitrage, or pairs trading, for the cryptocurrencies, Bitcoin (BTC) ...