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A arbitragem nos contratos de parceria público-privada; Larbitrage dans les contrats de partenariats public-privé

Oliveira, Beatriz Lancia Noronha de
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 03/12/2012 Português
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Pretendeu-se, por meio de uma avaliação doutrinária, jurisprudencial e histórico-legislativa, analisar a compatibilidade do emprego da arbitragem nos contratos de parceria público-privada. Nota-se, no contexto atual, uma nova postura estatal frente aos contratos administrativos, atuação esta que, desde o final do século XX, vem valorizando a paridade, a participação e o consenso nas relações entre o parceiro público e o particular. No bojo dessa nova concepção se inserem as parcerias público-privadas, que carregam inovações no trato entre a Administração contratante e o particular contratado. Não é por acaso que a Lei federal nº 11.079/2004, que trata dessa figura contratual moderna, foi uma das pioneiras em admitir, no âmbito da Administração Pública, a solução de controvérsias por meios não judiciais. Dessa forma, o estudo se volta à possibilidade do emprego da arbitragem nesse contrato de parceria, hipótese que encontra respaldo legal na Lei federal nº 11.079/2004. Embora a questão possa, aparentemente, encontrar barreiras nos princípios norteadores da Administração Pública (princípio da indisponibilidade, princípio da supremacia do interesse público, princípio da legalidade e princípio da publicidade)...

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Almeida, Caio Ibsen Rodrigues de
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
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Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article...

Equilibria in exchange economies with financial constraints : beyond the Cass trick

Martins-da-Rocha, Victor Filipe
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Trabalho em Andamento
Português
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We consider an exchange economy under incomplete financiaI markets with purely financiaI securities and finitely many agents. When portfolios are not constrained, Cass [4], Duffie [7] and Florenzano-Gourdel [12] proved that arbitrage-free security prices fully characterize equilibrium security prices. This result is based on a trick initiated by Cass [4] in which one unconstrained agent behaves as if he were in complete markets. This approach is unsatisfactory since it is asymmetric and no more valid when every agent is subject to frictions. We propose a new and symmetric approach to prove that arbitrage-free security prices still fully characterize equilibrium security prices in the more realistic situation where the financiaI market is constrained by convex restrictions, provided that financiaI markets are collectively frictionless.

Os efeitos da dinâmica cambial sobre os ganhos de arbitragem com ACCs e ativos domésticos

Basile, Piero Bernardo
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
Português
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A verificação de uma trajetória de valorização do câmbio ao longo de 2004 e 2005, que diminui a competitividade do produto brasileiro e a rentabilidade do setor exportador, ressaltou a importância das operações com adiantamentos de contratos de câmbio (ACCs) como meio de driblar os percalços de um câmbio adverso e manter a atratividade, em termos de lucratividade, da atividade exportadora. Este trabalho, então, busca aumentar o conjunto de informações dos exportadores que vislumbram a possibilidade de realizar operações de arbitragem com ACCs, analisando mais detalhadamente os fatores que determinam os resultados das operações com ACCs e verificando o papel da dinâmica cambial sobre esses ganhos. Para tal, são utilizados modelos econométricos de variância condicionada auto-regressiva (ARCH), cujos resultados sinalizam uma relação significativa e positiva entre volatilidade do câmbio e maiores margens de retorno na arbitragem com ACCs.; The appreciation path described by the exchange rate along 2004 and 2005, which reduced the Brazilian product competitiveness and the exportations profitability, showed the anticipation of exchange rate contracts (ACCs) importance as a way to overcome an adverse exchange rate and maintain the attractiveness of the exportation activity. Afterward...

Bolhas especulativas no mercado de ações : uma abordagem das finanças comportamentais

Keiserman, Bernardo
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
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Episódios de grandes flutuações nos preços dos ativos nos mercados têm atraído a atenção de economistas há muito tempo. Apesar de muitos acadêmicos e analistas terem estudado questões relacionadas às bolhas em ativos financeiros, ainda há pouco consenso sobre o surgimento e até mesmo a ocorrência de tais fenômenos. A Hipótese dos Mercados Eficientes (FAMA, 1970), base fundamental da teoria financeira, prescreve que o preço dos ativos deve refletir unicamente os fundamentos relacionados ao ativo em questão, excluindo assim a possibilidade do surgimento de bolhas. Neste impasse teórico, diferentes abordagens surgiram na tentativa de elaborar uma explicação para o surgimento de tais fenômenos. É em meio à essa discussão teórica que desenvolvemos este trabalho. Primeiramente fazemos uma ampla revisão dos principais conceitos de finanças. Seguimos nossa revisão apresentando uma avaliação de casos históricos famosos e expondo as diferentes abordagens teóricas sobre bolhas. Por fim, entramos no tópico principal que é explicar o surgimento de bolhas através dos limites à arbitragem. Nosso objetivo é desenvolver mais especificamente o synchronization risk, elaborado por Abreu e Brunnermeier (2002; 2003). Nele...

Rick arbitrage : analysis and trading systems

Naheta, Akshay, 1981-
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 60 leaves; 2258460 bytes; 2263896 bytes; application/pdf; application/pdf
Português
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In this thesis we quantify the risk arbitrage investment process and create trading strategies that generate positive risk-adjusted returns. We use a sample of 895 stock swap mergers, cash mergers, and cash tender offers during 1998-2004Q2. We test the market efficiency hypothesis, and after accounting for transaction costs, we find that our risk arbitrage strategies generate annual risk-adjusted returns in excess of 4.5%. The research also obtains various other merger statistics, and relates them to a variety of economic indicators and merger timing models, as described in past work. We also estimate conditional probabilities of a merger's success, using a deal characteristic-driven prediction model, and combine it with market-implied probabilities. Our analysis suggests that the probability of success of a merger depends on a deal's characteristics. Further, it implies that one can improve on the market-implied estimates thereby creating trading opportunities. The analytical results achieved in this thesis can be used as the foundation for building an effective risk arbitrage trading platform.; by Akshay Naheta.; Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2004.; Includes bibliographical references (leaves 59-60).

Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models

Mijatović, Aleksandar; Urusov, Mikhail
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 11/05/2010 Português
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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 diffusion setting and examine how these notions of no-arbitrage relate to each other.; Comment: 20 pages; most results in this paper were contained in the first version of submission 0905.3701; to appear in Finance & Stochastics

Asymptotic arbitrage and num\'eraire portfolios in large financial markets

Rokhlin, Dmitry B.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 27/02/2007 Português
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This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced by Yu.M. Kabanov and D.O. Kramkov. We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of the sequence of the num\'eraire portfolios, related to the small markets. The obtained criteria can be expressed in terms of contiguity, entire separation and Hellinger integrals, provided these notions are extended to sub-probability measures. As examples we consider market models on finite probability spaces, semimartingale and diffusion models. Also a discrete-time infinite horizon market model with one log-normal stock is examined.; Comment: 18 pages

Generalised arbitrage-free SVI volatility surfaces

Guo, Gaoyue; Jacquier, Antoine; Martini, Claude; Neufcourt, Leo
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterisation.; Comment: 20 pages, 4 figures. Section 2 more precise. Added a section on non-smooth implied volatilities

Arbitrage Opportunities in Misspecified Stochastic volatility Models

Jena, Rudra P.; Tankov, Peter
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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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 to arbitrage opportunities. We study these opportunities in a generic stochastic volatility model and exhibit the strategies which maximize the arbitrage profit. In the case when the misspecified dynamics is a classical Black-Scholes one, we give a new interpretation of the classical butterfly and risk reversal contracts in terms of their (near) optimality for arbitrage strategies. Our results are illustrated by a numerical example including transaction costs.; Comment: Several typos in section 5 have been corrected in this new version (with thanks to Amy Y. Zhou from MIT)

Derivative pricing with virtual arbitrage

Ilinski, Kirill; Stepanenko, Alexander
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 03/02/1999 Português
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In this paper we derive an effective equation for derivative pricing which accounts for the presence of virtual arbitrage opportunities and their elimination by the market. We model the arbitrage return by a stochastic process and find an equation for the average derivative price. This is an integro-differential equation which, in the absence of the virtual arbitrage or for an infinitely fast market reaction, reduces to the Black-Scholes equation. Explicit formulas are obtained for European call and put vanilla options.; Comment: Latex, 10 pages

A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing

Fontana, Claudio
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 27/11/2013 Português
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We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper "Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing" by B. Wong and C.C. Heyde (Stochastics, 2010) in the context of incomplete It\^o-process models. We show that their approach can only work in the known case of a complete financial market model and give an explicit counterexample.; Comment: 10 pages

Credit Risk in a Geometric Arbitrage Perspective

Farinelli, Simone
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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Geometric Arbitrage Theory, where a generic market is modelled with a principal fibre bundle and arbitrage corresponds to its curvature, is applied to credit markets to model default risk and recovery, leading to closed form no arbitrage characterizations for corporate bonds.; Comment: arXiv admin note: substantial text overlap with arXiv:0910.1671

Static versus Dynamic Arbitrage Bounds on Multivariate Option Prices

d'Aspremont, Alexandre
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 10/07/2004 Português
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We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multi-variate generalization of the Black-Scholes model. While there is no gap between these two sets of prices in the univariate case, we observe here that contrary to our intuition about model risk for at-the-money calls, there is a somewhat large gap between model prices and static arbitrage prices, hence a similarly large set of prices on which a multivariate Black-Scholes model cannot be calibrated but where no conclusion can be drawn on the presence or not of a static arbitrage opportunity.; Comment: Submitted to IMA series

Non-Arbitrage up to Random Horizon for Semimartingale Models

Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage. For this non-arbitrage notion, we obtain two principal results. The first result lies in describing the pairs of market model and random time for which the resulting stopped model fulfills NUPBR condition. The second main result characterises the random time models that preserve the NUPBR property after stopping for any market model. These results are elaborated in a very general market model, and we also pay attention to some particular and practical models. The analysis that drives these results is based on new stochastic developments in semimartingale theory with progressive enlargement. Furthermore, we construct explicit martingale densities (deflators) for some classes of local martingales when stopped at random time.; Comment: 40 pages. This version develops in details the ideas and the results of the previous version and fixes a glitch in the quasi-left-continuous case

No-arbitrage conditions and absolutely continuous changes of measure

Fontana, Claudio
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in the context of general semimartingale models, we show that an absolutely continuous change of measure does never introduce arbitrages of the first kind as long as the change of measure density process can reach zero only continuously.; Comment: 14 pages. Arbitrage, Credit and Informational Risks (C. Hillairet, M. Jeanblanc and Y. Jiao, eds.), Peking University Series in Mathematics, Vol. 6, World Scientific, 2014

Arbitrage-free prediction of the implied volatility smile

Dellaportas, Petros; Mijatović, Aleksandar
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 21/07/2014 Português
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This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices. The statistical analysis of such a multi-dimensional time series of option prices corresponding to $n$ strikes (with $n$ large, e.g. $n\geq 40$) and the same maturity, is a difficult task due to the fact that option prices at any moment in time satisfy non-linear and non-explicit no-arbitrage restrictions. Hence any $n$-dimensional time series model also has to satisfy these implicit restrictions at each time step, a condition that is impossible to meet since the model innovations can take arbitrary values. We solve this problem for any $n\in\NN$ in the context of Foreign Exchange (FX) by first encoding the option prices at each time step in terms of the parameters of the corresponding risk-neutral measure and then performing the time series analysis in the parameter space. The option price predictions are obtained from the predicted risk-neutral measure by effectively integrating it against the corresponding option payoffs. The non-linear transformation between option prices and the risk-neutral parameters applied here is \textit{not} arbitrary: it is the standard mapping used by market makers in the FX option markets (the SABR parameterisation) and is given explicitly in closed form. Our method is not restricted to the FX asset class nor does it depend on the type of parameterisation used. Statistical analysis of FX market data illustrates that our arbitrage-free predictions outperform the naive random walk forecasts...

Periodic Sequences of Arbitrage: A Tale of Four Currencies

Cross, Rod; Kozyakin, Victor; O'Callaghan, Brian; Pokrovskii, Alexei; Pokrovskiy, Alexey
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 26/12/2011 Português
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This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear periodic in nature, and not involve smooth convergence to a "balanced" ensemble of exchange rates in which the law of one price holds. The goal of this article is to understand some interesting features of sequences of arbitrage operations, features which might well be relevant in other contexts in finance and economics.; Comment: 35 pages, 48 bibliography references, submitted to Metroeconomica

An Hilbert space approach for a class of arbitrage free implied volatilities models

Brace, A.; Fabbri, G.; Goldys, B.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to be arbitrage free. The arbitrage free conditions give a system of stochastic PDEs for the evolution of the implied volatility surface ${\hat\sigma}_t(T,K)$. We will focus on the family obtained fixing a strike $K$ and varying $T$. In order to give conditions to prove an existence-and-uniqueness result for the solution of the system it is here expressed in terms of the square root of the forward implied volatility and rewritten in an Hilbert space setting. The existence and the uniqueness for the (arbitrage free) evolution of the forward implied volatility, and then of the the implied volatility, among a class of models, are proved. Specific examples are also given.; Comment: 21 pages

Black-Scholes equation from Gauge Theory of Arbitrage

Ilinski, Kirill; Kalinin, Gleb
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We apply Gauge Theory of Arbitrage (GTA) {hep-th/9710148} to derivative pricing. We show how the standard results of Black-Scholes analysis appear from GTA and derive correction to the Black-Scholes equation due to a virtual arbitrage and speculators reaction on it. The model accounts for both violation of the no-arbitrage constraint and non-Brownian price walks which resemble real financial data. The correction is nonlocal and transform the differential Black-Scholes equation to an integro-differential one.; Comment: Latex, 19 pages