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Author : Dana R. Clyman
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (269 download)
Download or read book Essays on Arbitrage and Rationality written by Dana R. Clyman and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brian Skyrms
Publisher : Oxford University Press
ISBN 13 : 0199652805
Total Pages : 263 pages
Book Rating : 4.1/5 (996 download)
Download or read book From Zeno to Arbitrage written by Brian Skyrms and published by Oxford University Press. This book was released on 2012-11-29 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brian Skyrms presents a set of influential essays which deploy formal methods to address epistemological and metaphysical questions. The first part of the book focuses on quantity; the second on degrees of belief, belief revision, and coherence; the third on aspects of inductive reasoning.
Author : Jun Deng
Publisher :
ISBN 13 :
Total Pages : 266 pages
Book Rating : 4.:/5 (92 download)
Download or read book Essays on Arbitrage Theory for a Class of Informational Markets written by Jun Deng and published by . This book was released on 2014 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis develops three major essays on Arbitrage Theory, Market's Viability and Informational Markets. The first essay (Chapter 3) elaborates the exact connections among the No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) condition, the existence of the numeraire portfolio, and market's weak/local viability. These tight relationships together with the financial crisis become our principal financial/economic leitmotif for the development of the next essay. In the second essay (Chapter 4 - Chapter 6), we focus on quantifying with extreme precision the effect of some additional information/uncertainty on the non-arbitrage concepts. As a result, we describe the interplay of this extra information and the market's parameters for these non-arbitrage concepts to be preserved. Herein, we focus on the classical no-arbitrage and the NUPBR condition. This study contains two main parts. In the first part of this essay (Chapter 4), we analyze practical examples of market models and extra information/uncertainty, for which we construct explicit "classical" arbitrage opportunities generated by the extra infor- mation/uncertainty. These examples are built in Brownian filtration and in Poisson filtration as well. The second part (Chapters 5 and 6) addresses the NUPBR condition in two different directions. On the one hand, we describe the pairs of market model and random time for which the resulting informational market model fulfills the NUPBR condition. On the other hand, we characterize the random time models that preserve the NUPBR condition. These results are elaborated for general market models with special attention to practical models such as discrete-time and Levy market models. The last essay (Chapter 7) investigates the effect of additional information on the Structure Conditions. These conditions are the alternatives to the non-arbitrage and viability assumption in the Markowitz settings.
Author : Pablo Koch-Medina
Publisher : Springer Nature
ISBN 13 : 3030397246
Total Pages : 448 pages
Book Rating : 4.0/5 (33 download)
Download or read book Market-Consistent Prices written by Pablo Koch-Medina and published by Springer Nature. This book was released on 2020-07-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.
Author : Felix Stang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Essays on Arbitrage Pricing Theory and Contagion in a Financial Network written by Felix Stang and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Scott Rashes
Publisher :
ISBN 13 :
Total Pages : 356 pages
Book Rating : 4.:/5 (465 download)
Download or read book Essays on Arbitrage written by Michael Scott Rashes and published by . This book was released on 1999 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Taychang Wang
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (244 download)
Download or read book Essays on the Theory of Arbitrage Pricing written by Taychang Wang and published by . This book was released on 1988 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Pole
Publisher : John Wiley & Sons
ISBN 13 : 1118160738
Total Pages : 230 pages
Book Rating : 4.1/5 (181 download)
Download or read book Statistical Arbitrage written by Andrew Pole and published by John Wiley & Sons. This book was released on 2011-07-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.
Author : Michaela Kiermeier
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (246 download)
Download or read book Essays on the Arbitrage Pricing Theory and Wavelet Analysis written by Michaela Kiermeier and published by . This book was released on 1998 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Evan G. Gatev
Publisher :
ISBN 13 :
Total Pages : 250 pages
Book Rating : 4.:/5 (546 download)
Download or read book Three Essays on Arbitrage in Expectations written by Evan G. Gatev and published by . This book was released on 2001 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Simon Lalancette
Publisher :
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.:/5 (428 download)
Download or read book Essays on the Arbitrage Pricing Theory and Portfolio Performance Measurement written by Simon Lalancette and published by . This book was released on 1992 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George Koutoulas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays on the Arbitrage Pricing Theory written by George Koutoulas and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michaela Kiermeier
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays on Tha Arbitrage Pricing Theory and Wavelet Analysis written by Michaela Kiermeier and published by . This book was released on 1998 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Meriton Ibraimi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (944 download)
Download or read book Essays on Arbitrage Pricing Theory and Systemic Risk Modeling written by Meriton Ibraimi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Institut universitaire européen
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (467 download)
Download or read book Essays on the Arbitrage Pricing Theory and Wavelet Analysys written by Institut universitaire européen and published by . This book was released on 1998 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrei Shleifer
Publisher : OUP Oxford
ISBN 13 : 0191606898
Total Pages : 225 pages
Book Rating : 4.1/5 (916 download)
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Author : Nasser Saidi
Publisher : Routledge
ISBN 13 : 1351804847
Total Pages : 205 pages
Book Rating : 4.3/5 (518 download)
Download or read book Essays on Rational Expectations and Flexible Exchange Rates written by Nasser Saidi and published by Routledge. This book was released on 2017-07-14 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1982. This book deals with exchange-rate determination and the implications of floating rate regimes for the time paths of prices and quantities. It develops a class of stochastic equilibrium models of the open economy operating under flexible exchange rates, assuming that agents are endowed with rational expectations but do not possess full current information as to the state of the world. Chapters look at a model’s response to economic disturbances, the effect on non-traded goods, and cyclical variations of the terms of trade. The final chapter considers a model to investigate purchasing parity issues.
