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Arbitragem nos mercados financeiros: uma proposta bayesiana de verificação; Arbitrage in financial markets: a Bayesian approach for verification

Cerezetti, Fernando Valvano
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 20/05/2013 Português
Relevância na Pesquisa
36.37%
Hipóteses precisas são características naturais das teorias econômicas de determinação do valor ou preço de ativos financeiros. Nessas teorias, a precisão das hipóteses assume a forma do conceito de equilíbrio ou da não arbitragem. Esse último possui um papel fundamental nas teorias de finanças. Sob certas condições, o Teorema Fundamental do Apreçamento de Ativos estabelece um sistema único e coerente para valorização dos ativos em mercados não arbitrados, valendo-se para tal das formulações para processos de martingal. A análise da distribuição estatística desses ativos financeiros ajuda no entendimento de como os participantes se comportam nos mercados, gerando assim as condições para se arbitrar. Nesse sentido, a tese defendida é a de que o estudo da hipótese de não arbitragem possui contrapartida científica, tanto do lado teórico quanto do empírico. Utilizando-se do modelo estocástico Variância Gama para os preços dos ativos, o teste Bayesiano FBST é implementado com o intuito de se verificar a existência da arbitragem nos mercados, potencialmente expressa nos parâmetros destas densidades. Especificamente, a distribuição do Índice Bovespa é investigada, com os parâmetros risco-neutros sendo estimados baseandose nas opções negociadas no Segmento de Ações e no Segmento de Derivativos da BM&FBovespa. Os resultados aparentam indicar diferenças estatísticas significantes em alguns períodos de tempo. Até que ponto esta evidência é a expressão de uma arbitragem perene nesses mercados ainda é uma questão em aberto.; Precise hypotheses are natural characteristics of the economic theories for determining the value or prices of financial assets. Within these theories the precision is expressed in terms of equilibrium and non-arbitrage hypotheses. The former concept plays an essential role in the theories of finance. Under certain conditions...

Limites da arbitragem no mercado de capitais : abordagem das finanças comportamentais; Limits to arbitrage in the capital market : behavioral finance approach

Vitor Kamada
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 12/08/2010 Português
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36.46%
Esta dissertação trata dos limites à arbitragem no mercado de capitais. A idéia básica subjacente ao processo de arbitragem é comprar ativos financeiros desvalorizados e vender ativos financeiros supervalorizados. A finalidade é obter ganhos pecuniários mediante o diferencial dos preços. A economia neoclássica supõe que a arbitragem é processo instantâneo sem custos e riscos realizado por agentes atomísticos. No presente trabalho, essa hipótese é contestada com base nos avanços teóricos das Finanças Comportamentais. Na realidade, a arbitragem é sofisticada estratégia de investimento planejada por poucos profissionais altamente especializados em determinados mercados. Não obstante a arbitragem envolver substanciais custos e riscos, não há garantias de sucesso. A análise de casos concretos sugere que a concepção de arbitragem proposta pelas Finanças Comportamentais é mais realista. Três casos paradigmáticos foram analisados neste trabalho, a saber: I) empresas controladoras que valiam menos do que suas subsidiárias, como o exemplo da 3Com/Palm; II) ações gêmeas cujos preços desviavam-se da paridade teórica, como o exemplo da Royal Dutch/Shell; e III) o colapso do hedge fund Long-Term Capital Management (LTCM). No primeiro caso...

$100 Bills on the Sidewalk: Violations of No-Arbitrage in 401(k) Accounts

Choi, James J.; Madrian, Brigitte; Laibson, David I.
Fonte: MIT Press Publicador: MIT Press
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.15%
We identify employees at seven companies whose 401(k) investment choices are dominated because they are contributing less than the employer matching contribution threshold despite being vested in their match and being able to make penalty-free 401(k) withdrawals for any reason because they are older than 59½. At the average firm, 36% of match-eligible employees over age 59½ forgo arbitrage profits that average 1.6% of their annual pay, or $507. A survey educating employees about the free lunch they are forgoing raised contribution rates by a statistically insignificant 0.67% of income among those completing the survey.

No-arbitrage bounds on American Put Options with a single maturity

Shah, Premal (Premal Y.)
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 64 p.
Português
Relevância na Pesquisa
46.15%
We consider in this thesis the problem of pricing American Put Options in a model-free framework where we do not make any assumptions about the price dynamics of the underlying except those implied by the no-arbitrage conditions. Our goal is to obtain bounds on the price of an American put option with a given strike and maturity directly from the prices of other American put options with the same maturity but different strikes and the current price of the underlying. We proceed by first investigating the structural properties of the price curve of American Put Options of a fixed maturity and derive necessary and sufficient conditions that strike - price pairs of these options must satisfy in order to exclude arbitrage. Using these conditions, we can find tight bounds on the price of the option of interest by solving a very tractable Linear Programming Problem. We then apply the methods developed to real market data. We observe that the quality of bounds that we obtain compares well with the quoted bid-ask spreads in most cases.; by Premal Shah.; Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2006.; Includes bibliographical references (p. 63-64).

Information, no-arbitrage and completeness for asset price models with a change point

Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; Li, Qinghua
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.03%
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time $\tau$. Under minimal assumptions on the random time and on the driving Brownian motions, we study the behavior of the model in all the filtrations which naturally arise in this setting, establishing martingale representation results and characterizing the validity of the NA1 and NFLVR no-arbitrage conditions.; Comment: 21 pages

No-arbitrage of second kind in countable markets with proportional transaction costs

Bouchard, Bruno; Taflin, Erik
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.03%
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 assets. We show that the no-arbitrage of second kind property (NA2 in short), recently introduced by Rasonyi for finite-dimensional markets, allows us to provide a closure property for the set of attainable claims in a very natural way, under a suitable efficient friction condition. We also extend to this context the equivalence between NA2 and the existence of many (strictly) consistent price systems.; Comment: Published in at http://dx.doi.org/10.1214/11-AAP825 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs

Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.03%
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes of a derivative contract. Our results are illustrated with a vanilla credit default swap contract.; Comment: Forthcoming in Mathematical Finance

A note on the spot-forward no-arbitrage relations in a trading-production model for commodities

Aïd, René; Campi, Luciano; Lautier, Delphine
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.18%
In commodity markets, the convergence of futures towards spot prices as the time to maturity of the contracts goes to zero is usually justified by no-arbitrage arguments. In this paper we propose an alternative approach, that relies on the expected profit maximization problem of an agent producing and storing a commodity while trading in the associated futures contracts. In this framework, the relation between the spot and the futures prices holds through the well-posedness of the maximization problem. We show that the futures price can still be seen as the risk-neutral expectation of the spot price at maturity and we propose an explicit formula for the forward volatility. Moreover, we provide an heuristic analysis of the optimal solution for the production / storage / trading problem, in a Markovian setting. This approach is particularly interesting in the case of energy commodity: it remains suitable for commodities characterized by storability constraints, when standard no-arbitrage arguments can not be safely applied.

No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

Bouchard, Bruno
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/01/2005 Português
Relevância na Pesquisa
46.05%
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the "no-friction" case, we retrieve the result of Kabanov and Stricker (2003).

The fractional volatility model: No-arbitrage, leverage and risk measures

Mendes, R. Vilela; Oliveira, Maria João
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/07/2010 Português
Relevância na Pesquisa
46.03%
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. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behavior. Here, the no-arbitrage and incompleteness properties of the model are studied. Some risk measures are also discussed in this framework.; Comment: 12 pages latex

Fractional term structure models: No-arbitrage and consistency

Ohashi, Alberto
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.18%
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under proportional transaction costs in the same spirit of Guasoni [Math. Finance 16 (2006) 569-582]. In particular, we obtain a drift condition which is similar in nature to the classical HJM no-arbitrage drift restriction. The second part of this paper deals with consistency problems related to the fractional HJM dynamics. We give a fairly complete characterization of finite-dimensional invariant manifolds for HJM models with fractional Brownian motion by means of Nagumo-type conditions. As an application, we investigate consistency of Nelson-Siegel family with respect to Ho-Lee and Hull-White models. It turns out that similar to the Brownian case such a family does not go well with the fractional HJM dynamics with deterministic volatility. In fact, there is no nontrivial fractional interest rate model consistent with the Nelson-Siegel family.; Comment: Published in at http://dx.doi.org/10.1214/08-AAP586 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

No arbitrage without semimartingales

Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 12/06/2009 Português
Relevância na Pesquisa
46.15%
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example, fractional Brownian motion.; Comment: Published in at http://dx.doi.org/10.1214/08-AAP554 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

No-arbitrage pricing under cross-ownership

Fischer, Tom
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 05/05/2010 Português
Relevância na Pesquisa
46.18%
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 derivatives, can be of differing seniority. We derive equations for the prices of equities and recovery claims under no-arbitrage. An existence result and a uniqueness result are proven. Examples and an algorithm for the simultaneous calculation of all no-arbitrage prices are provided. A result on capital structure irrelevance for groups of firms regarding externally held claims is discussed, as well as financial leverage and systemic risk caused by cross-ownership.; Comment: Excerpts and ideas from this paper have been presented at the Scientific Conference of the German Association for Actuarial and Financial Mathematics (DGVFM), Bremen, April 30, 2010. Some methods and systems derived from this work have been subject to a provisional (successful) patent filing

No-arbitrage conditions and absolutely continuous changes of measure

Fontana, Claudio
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.25%
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

The fractional volatility model: No-arbitrage, leverage and completeness

Mendes, R. Vilela; Oliveira, M. J.; Rodrigues, A. M.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 13/05/2012 Português
Relevância na Pesquisa
46.03%
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behavior. Here, the no-arbitrage and completeness properties of the models are studied.; Comment: 13 pages Latex. arXiv admin note: substantial text overlap with arXiv:1007.2817

No Arbitrage Conditions For Simple Trading Strategies

Bayraktar, Erhan; Sayit, Hasanjan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.32%
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from below.) We show that for a class of non-negative strict local martingales, the strong Markov property implies the no arbitrage property with respect to the class of simple trading strategies. This result can be seen as a generalization of a similar result on three dimensional Bessel process in [3]. We also pro- vide no arbitrage conditions for stochastic processes within the class of simple trading strategies with shortsale restriction.; Comment: Keywords: Simple trading strategies. Arbitrage. Sticky processes. Short-Sales Restrictions

Inflation securities valuation with macroeconomic-based no-arbitrage dynamics

Sarais, Gabriele; Brigo, Damiano
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.03%
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an important role. The model can explain the effects of non-standard monetary policies (like quantitative easing or its tapering) and shed light on how central bank policy can affect the value of inflation and interest rates derivatives. The model is built under standard no-arbitrage assumptions. Interestingly, the model yields short rate dynamics that are consistent with a time-varying Hull-White model, therefore making the calibration to the nominal interest curve and options straightforward. Further, we obtain closed forms for both zero-coupon and year-on-year inflation swap and options. The calibration strategy we propose is fully separable, which means that the calibration can be carried out in subsequent simple steps that do not require heavy computation. A market calibration example is provided. The advantages of such structural inflation modelling become apparent when one starts doing risk analysis on an inflation derivatives book: because the model explicitly takes into account economic variables...

Weak and strong no-arbitrage conditions for continuous financial markets

Fontana, Claudio
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.34%
We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk. We provide a complete characterisation of the considered no-arbitrage conditions, linking their validity to the characteristics of the discounted asset price process and to the existence and the properties of (weak) martingale deflators, and review classical as well as recent results.; Comment: 28 pages

Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

Rokhlin, Dmitry B.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 13/03/2006 Português
Relevância na Pesquisa
46.15%
We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitrage strategies is proposed.; Comment: 18 pages, 1 fig

A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets

German, David; Schellhorn, Henry
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 21/06/2012 Português
Relevância na Pesquisa
46.18%
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched part of the order is recorded in the order book. Subsequently these buy unmatched orders may be matched with new incoming sell orders. The resulting demand curve constitutes the sole input to our model. The clearing price is then mechanically calculated using the market clearing condition. We use a Brownian sheet to model the demand curve, and provide some theoretical assumptions under which such a model is justified. Our main result is the proof that if there exists a unique equivalent martingale measure for the clearing price, then under some mild assumptions there is no arbitrage. We use the Ito- Wentzell formula to obtain that result, and also to characterize the dynamics of the demand curve and of the clearing price in the equivalent measure. We find that the volatility of the clearing price is (up to a stochastic factor) inversely proportional to the sum of buy and sell order flow density (evaluated at the clearing price), which confirms the intuition that volatility is inversely proportional to volume. We also demonstrate that our approach is implementable. We use real order book data and simulate option prices under a particularly simple parameterization of our model. The no-arbitrage conditions we obtain are applicable to a wide class of models...