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华中科技大学投资学课件Chapter10 Arbitrage Pricing Theory
华中科技大学 投资学 课件 Chapter10 Arbitrage Pricing Theory
2015/5/19
华中科技大学投资学课件Chapter10 Arbitrage Pricing Theory。
We would like to thank Paolo Fulghieri (editor), Douglas Gale, an anonymous referee, and the
participants of the FIRS Conference in Florence for helpful comments. All errors are our own. The
views e...
Fire sales that occur during crises beg the question of why su￠ cient outside capital does not move in quickly to take advantage of Öre sales, or in other words, why outside capital is so ìslow-m...
Double Exponential Instability of Triangular Arbitrage Systems
Limits to arbitrage Recurrent sequences Matrix products Asynchronous systems
2012/4/28
This paper investigates arbitrage chains involving d currencies and d foreign exchange trader-arbitrageurs. The commonly recognized belief in economics and finance is that arbitrage has the effect of ...
Free Lunch: Arbitrage Profits Associated with Credit Cards
presents information credit card availability of arbitrage profits introductory balance transfer offers
2011/8/22
This article presents information about recent changes in credit card contracts and discusses the availability of arbitrage profits on introductory balance transfer offers. The article also reviews li...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage
2010/10/18
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
No-arbitrage of second kind in countable markets with proportional transaction costs
No-arbitrage transaction costs bond market
2010/10/21
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable asse...
A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
Direct Proof Bichteler--Dellacherie Theorem Connections to Arbitrage
2010/10/20
We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes $S$ allowing for a useful integration theory consists precisely of thos...
The fractional volatility model: No-arbitrage, leverage and risk measures
Fractional noise Arbitrage Incomplete market Risk measures
2010/10/21
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Deterministic criteria arbitrage one-dimensional diffusion models
2010/10/20
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional d...
No-arbitrage pricing under cross-ownership
Absolute priority rule capital structure irrelevance contingent claims
2010/10/20
We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may include debts and deriva...
Hedging under arbitrage
Hedging arbitrage
2010/10/19
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This hol...
Diversity and Arbitrage in a Regulatory Breakup Model
Diversity Arbitrage Regulatory Breakup Model
2010/10/19
In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We ...
An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium ...
Market viability via absence of arbitrage of the first kind
Arbitrage of the first kind cheap thrills fundamental theorem of asset pricing equivalent
2010/10/29
In a semimartingale financial market model, it is shown that there is equivalence be-tween absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive ...