搜索结果: 1-7 共查到“应用经济学 arbitrage”相关记录7条 . 查询时间(0.062 秒)
Arbitrage hedging in markets for the US lean hogs and the EU live pigs
futures market pig market risk management threshold cointegration analysis
2014/2/24
The paper describes an attempt to gain insight into the relationship between cash and futures markets for US lean hogs and EU live pigs, and the opportunity of arbitrage hedging. In doing so, the auth...
Arbitrage-free SVI volatility surfaces
Arbitrage-free SVI volatility surfaces Pricing of Securities
2012/4/28
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In particular, we exhibi...
Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High-Frequency Data
CSI 300 Index Future High-Frequency Data Futures-Spot Arbitrage Mean Reversion Effect Mispricing Ratio
2013/2/23
Based on 1 minute high frequency data, this paper constructs no-arbitrage band for CSI300 index futures, and empirically studies the futures-spot arbitrage. Furthermore, the mean reversion and its tim...
Arbitrage hedging strategy and one more explanation of the volatility smile
step-like contrast structure semi-linear parabolic equation arbitrage option hedging strategy volatility smile
2011/3/23
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, com...
Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set
Yield curve terms tructure of interest rates forecasting large data set factor models
2011/4/1
This paper addresses the issue of forecasting the term structure.We provide a unified state-space modeling framework that encompasses different existing discrete-time yield curve models.
In this work, we identify the most general measure of arbitrage for any market model governed
by Itˆo processes. We show that our arbitrage measure is invariant under changes of num´eraire...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...