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## Arbitrage pricing theory in international markets; Teoria de apreçamento arbitragem aplicada a mercados internacionais

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 05/09/2011
Português

Relevância na Pesquisa

36.19%

#Arbitrage pricing theory#Asset pricing models#Econometria#Economia#Finanças internacionais#Risk factors

This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they were not included in the majority of previous related works. Two strategies are used to choose two set of risk factors. The first one is to use macroeconomic variables, as prescribed by most of the literature, such as world excess return, exchange rates, variation in the spread between Eurodollar deposit tax and U.S. Treasury bill (TED spread) and change in the oil price. The second strategy is to extract factors by using a principal component analysis, designated as statistical factors. The first important result is a great resemblance between the first statistical factor and the world excess return. We estimate the APT model using two statistical methodologies: Iterated Nonlinear Seemingly Unrelated Regression (ITNLSUR) by McElroy and Burmeister (1988) and the Generalized Method Moments (GMM) by Hansen (1982). The results from both methods are very similar. With macroeconomic variables...

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

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

56.52%

#FBST#FBST#hipótese precisa#não arbitragem#non-arbitrage#precise hypothesis#teoria do valor#value theory#variance gamma#Variância Gama.

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...

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## International Financial Integration through the Law of One Price

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Português

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36.34%

#ADJUSTMENT MECHANISM#ARBITRAGE#ASSET MARKET#ASSET MARKETS#BENCHMARK#CAPITAL CONTROLS#CAPITAL FLIGHT#CAPITAL INFLOWS#CAPITAL MARKET#CAPITAL MARKETS#CAPITAL MOBILITY

The authors argue that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration, reflecting accurately the factors that segment markets and inhibit price arbitrage. Applying to equity markets recent methodological developments in the purchasing power parity literature, they show that nonlinear Threshold Autoregressive (TAR) models properly capture the behavior of the cross market premium. The estimates reveal the presence of narrow non-arbitrage bands and indicate that price differences outside these bands are rapidly arbitraged away, much faster than what has been documented for good markets. Moreover, the authors find that financial integration increases with market liquidity. Capital controls, when binding, contribute to segment financial markets by widening the non-arbitrage bands and making price disparities more persistent. Crisis episodes are associated with higher volatility, rather than by more persistent deviations from the law of one price.

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## The Development and Regulation of Non-Bank Financial Institutions

Fonte: Washington, DC: World Bank
Publicador: Washington, DC: World Bank

Português

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35.97%

#NON-BANK FINANCIAL INSTITUTIONS#REGULATORY FRAMEWORK#CONTRACTUAL SAVINGS#REGULATORY STRUCTURE#INSURANCE COMPANIES#SECURITIES MARKETS#LEASING ARRANGEMENTS#MORTGAGES#REAL ESTATE BUSINESS ACCOUNTABILITY#ACCOUNTING#ACTUARIES

Non-bank financial institutions (NBFIs)
are becoming an increasingly important segment of the
financial system in some developing countries. This book
aims to create awareness of the promise of NBFIs for
developing countries and to assist policymakers in creating
a coherent policy structure and a sound regulatory and
supervisory environment for their development. The first
chapter offers a coherent policy framework for addressing
the regulation of NBFIs and the second chapter addresses the
principles for regulation. Subsequent chapters provide an
overview of the insurance industry, mutual funds and pension
schemes, leasing and real estate companies, and securities
markets, and discusses the specific regulatory framework for
these institutions. The final chapter explores development
policy challenges confronting emerging markets.

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## Republic of Kazakhstan Tax Strategy Paper : Volume 1. A Strategic Plan for Increasing the Neutrality of the Tax System in Non-Extractive Sectors

Fonte: Washington, DC
Publicador: Washington, DC

Português

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#ACCOUNTING#ALCOHOLIC BEVERAGES#ANNUAL INCOME#ANNUAL WAGE#ANNUAL WAGES#ARBITRAGE#AUDITS#AVERAGE EARNINGS#AVERAGE WAGE#AVERAGE WAGES#BALANCED BUDGET

This study focuses on the tax system for
non-subsurface users in Kazakhstan. It takes as given the
tax reform package that the authorities and stakeholders are
designing, but proposes a number of additional steps to be
taken over the next 2-3 years aimed at maximizing the
benefits of tax neutrality on competitiveness. The first
volume of this report mainly focuses on tax policy: taxes on
labor, capital, and consumption. A draft report on
administration was also produced for discussion, which
includes an initial assessment for organization, planning
and staffing, a large taxpayers unit, anti-corruption
issues, taxpayer services and education, audit and
inspections, collection activities, and legal issues and
appeal. The second volume of the tax strategy paper examines
tax administration issues, and identifies functional areas
that require attention in the short, medium and longer-term.
This examination represents an initial diagnostic and is not
a final blueprint for modernization. The nine areas
diagnosed are: organizational structure...

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## Econometric implications of non-exact present value models

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: Trabalho em Andamento
Formato: application/pdf

Publicado em /03/2000
Português

Relevância na Pesquisa

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#Cointegration#Cross-Equation Restrictions#Present Value Model#VAR#Volatility Tests#C3#C5#E4#Economía

One of the most commonly used and, at the same time, rejected models in nance and macroeconomics is the exact present value model (PVM), where a variable Yt is expressed as the expected value at time t of the sum of discounted future values of another variable Xt. This paper extends the PVM by making it non-exact (NEPVM) in a simple way, allowing us to study situations where there are transitory deviations from the exact PVM. The proposed NEPVM is derived from similar non-arbitrage or equilibrium conditions the exact PVM comes from and it can explain some stylized economic facts that cannot be explained by exact PVMs. The rejection of the exact PVM produced by the standard volatility and cross-equation restriction tests is not enough to reject the NEPVM. We present the new variance bounds and crossequation restrictions implied by the NEPVM and we show how to test them. The paper nishes by analyzing empirically the cases of stock prices and dividends, and short- and longterm interest rates. For these cases we are unable to reject a simple NEPVM. This fact, together with the theoretical results contained in the paper, suggests that the proposed NEPVM could be compatible with some of the empirical finndings in the literature.

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## Four essays on the interaction between credit derivatives and fixed income markets

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: info:eu-repo/semantics/doctoralThesis; info:eu-repo/semantics/doctoralThesis
Formato: application/octet-stream; application/octet-stream; application/pdf

Português

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In this thesis, I study the interaction between Credit Derivatives and Fixed Income Markets, both corporate and sovereign, from different perspectives. In the case of corporate, I study arbitrage, price discovery and financial integration. In the case of sovereign, I focus on the European Monetary Union (EMU) sovereign bond market and analyze the potential arrival of a common risk free rate for the EMU and the advantages derived from it. First, we analyze long-run and statistical arbitrage opportunities in credit deriva- tives markets using strategies combining Credit Default Swaps (CDSs) and Asset Swaps (ASPs). We present a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities with lower downside risk than existing alternatives. This test allows us to study for arbitrage opportunities in the appropriate way by focusing our analysis on the cases in which long positions in CDSs and ASPs are needed. Using four di¤erent databases from 2005 to 2009, we find long-run and statistical arbitrage opportunities before the current crisis in 27% and 29% of the cases, respectively. During the crisis, they decrease to 9% and 17%, respectively. Specifically, CDS spreads are too low in comparison with asset swap spreads. This fact puts into question the e¢ ciency of this segment of the CDS market. After considering funding and trading costs...

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## Contrat de cyberconsommation et arbitrage : les leçons de l'arrêt Dell

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation

Português

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#arbitrage#arbitration#cyberconsommation#Dell#recours collectif#class action#electronic commerce#commerce electronique#clause abusive#internet#Social Sciences - Law / Sciences sociales - Droit (UMI : 0398)

En juillet 2007, la Cour suprême du Canada s’est prononcée pour la première fois sur un litige lié au commerce électronique et dont les faits sont nés au Québec. L’affaire est d’une grande banalité : un contrat de consommation conclu par la voie de l’internet donna lieu à un litige car le prix proposé par le commerçant était erroné. Dans ce jugement historique, la Cour suprême a renversé les décisions des cours inférieures et est allée dans la direction contraire d’une modification législative adoptée le lendemain des auditions à la Cour, qui ne s’appliquait pas au cas en l’espèce. Ce jugement a causé des débats non seulement sur ce que la Cour a dit, mais aussi quant à l’opportunité qui lui était offerte de clarifier plusieurs questions d’importance. Ce mémoire utilise l’affaire Dell comme fil conducteur de l’étude du contrat de cyberconsommation et traite aussi de certaines questions incidentes sur ce droit en constant changement. En premier lieu, nous étudions le contrat de cyberconsommation et ensuite nous examinons le fond de l’affaire, une question qui n’a d’ailleurs pas encore reçu une analyse judiciaire. Dans la dernière partie, nous faisons une analyse critique des questions juridiques traitées par la Cour suprême. Nous concluons en remarquant que la Cour a perdu une occasion unique de clarifier certaines incongruïtés du droit de la cyberconsommation.; In July 2007...

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## Volatility smile and stochastic arbitrage returns

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 27/05/2004
Português

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The purpose of this work is to explore the role that random arbitrage
opportunities play in pricing financial derivatives. We use a non-equilibrium
model to set up a stochastic portfolio, and for the random arbitrage return, we
choose a stationary ergodic random process rapidly varying in time. We exploit
the fact that option price and random arbitrage returns change on different
time scales which allows us to develop an asymptotic pricing theory involving
the central limit theorem for random processes. We restrict ourselves to
finding pricing bands for options rather than exact prices. The resulting
pricing bands are shown to be independent of the detailed statistical
characteristics of the arbitrage return. We find that the volatility ``smile''
can also be explained in terms of random arbitrage opportunities.; Comment: 15 pages, 3 figures. The paper was accepted for publication in
Physica A

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## Pricing rule based on non-arbitrage arguments for random volatility and volatility smile

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 10/05/2002
Português

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#Mathematics - Probability#Mathematics - Optimization and Control#Quantitative Finance - Pricing of Securities

We consider a generic market model with a single stock and with random
volatility. We assume that there is a number of tradable options for that stock
with different strike prices. The paper states the problem of finding a pricing
rule that gives Black-Scholes price for at-money options and such that the
market is arbitrage free for any number of tradable options, even if there are
two Brownian motions only: one drives the stock price, the other drives the
volatility process. This problem is reduced to solving a parabolic equation.; Comment: 18 pages

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## Arbitrage and Hedging in a non probabilistic framework

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 05/03/2011
Português

Relevância na Pesquisa

26.46%

The paper studies the concepts of hedging and arbitrage in a non
probabilistic framework. It provides conditions for non probabilistic arbitrage
based on the topological structure of the trajectory space and makes
connections with the usual notion of arbitrage. Several examples illustrate the
non probabilistic arbitrage as well perfect replication of options under
continuous and discontinuous trajectories, the results can then be applied in
probabilistic models path by path. The approach is related to recent financial
models that go beyond semimartingales, we remark on some of these connections
and provide applications of our results to some of these models.

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## Non-Arbitrage Under Additional Information for Thin Semimartingale Models

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 05/05/2015
Português

Relevância na Pesquisa

46.14%

This paper completes the two studies undertaken in
\cite{aksamit/choulli/deng/jeanblanc2} and
\cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact
of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called
NUPBR hereafter) when the stock price processes are quasi-left-continuous (do
not jump on predictable stopping times). Herein, we focus on the NUPBR for
semimartingales models that live on thin predictable sets only and the
progressive enlargement with a random time. For this flow of information, we
explain how far the NUPBR property is affected when one stops the model by an
arbitrary random time or when one incorporates fully an honest time into the
model. This also generalizes \cite{choulli/deng} to the case when the jump
times are not ordered in anyway. Furthermore, for the current context, we show
how to construct explicitly local martingale deflator under the bigger
filtration from those of the smaller filtration.; Comment: This paper develops the part of thin and single jump processes
mentioned in our earlier version: "Non-arbitrage up to random horizon and
after honest times for semimartingale models", Available at:
arXiv:1310.1142v1. arXiv admin note: text overlap with arXiv:1404.0410

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## Default times, non arbitrage conditions and change of probability measures

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 21/12/2008
Português

Relevância na Pesquisa

46.14%

In this paper we give a financial justification, based on non arbitrage
conditions, of the $(H)$ hypothesis in default time modelling. We also show how
the $(H)$ hypothesis is affected by an equivalent change of probability
measure. The main technique used here is the theory of progressive enlargements
of filtrations.

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## How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

36.07%

#Quantitative Finance - General Finance#Mathematics - Optimization and Control#Mathematics - Probability#Quantitative Finance - Portfolio Management

This paper proposes two approaches that quantify the exact relationship among
the viability, the absence of arbitrage, and/or the existence of the
num\'eraire portfolio under minimal assumptions and for general continuous-time
market models. Precisely, our first and principal contribution proves the
equivalence among the No-Unbounded-Profit-with-Bounded-Risk condition (NUPBR
hereafter), the existence of the num\'eraire portfolio, and the existence of
the optimal portfolio under an equivalent probability measure for any "nice"
utility and positive initial capital. Herein, a 'nice" utility is any smooth
von Neumann-Morgenstern utility satisfying Inada's conditions and the
elasticity assumptions of Kramkov and Schachermayer. Furthermore, the
equivalent probability measure ---under which the utility maximization problems
have solutions--- can be chosen as close to the real-world probability measure
as we want (but might not be equal). Without changing the underlying
probability measure and under mild assumptions, our second contribution proves
that the NUPBR is equivalent to the "{\it local}" existence of the optimal
portfolio. This constitutes an alternative to the first contribution, if one
insists on working under the real-world probability. These two contributions
lead naturally to new types of viability that we call weak and local
viabilities.; Comment: 21 pages

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## Stochastic arbitrage return and its implications for option pricing

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 30/03/2004
Português

Relevância na Pesquisa

26.36%

The purpose of this work is to explore the role that arbitrage opportunities
play in pricing financial derivatives. We use a non-equilibrium model to set up
a stochastic portfolio, and for the random arbitrage return, we choose a
stationary ergodic random process rapidly varying in time. We exploit the fact
that option price and random arbitrage returns change on different time scales
which allows us to develop an asymptotic pricing theory involving the central
limit theorem for random processes. We restrict ourselves to finding pricing
bands for options rather than exact prices. The resulting pricing bands are
shown to be independent of the detailed statistical characteristics of the
arbitrage return. We find that the volatility "smile" can also be explained in
terms of random arbitrage opportunities.; Comment: 14 pages, 3 fiqures

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## Gauge Invariance, Geometry and Arbitrage

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 20/08/2009
Português

Relevância na Pesquisa

26.39%

In this work, we identify the most general measure of arbitrage for any
market model governed by It\^o processes. We show that our arbitrage measure is
invariant under changes of num\'{e}raire and equivalent probability. Moreover,
such measure has a geometrical interpretation as a gauge connection. The
connection has zero curvature if and only if there is no arbitrage. We prove an
extension of the Martingale pricing theorem in the case of arbitrage. In our
case, the present value of any traded asset is given by the expectation of
future cash-flows discounted by a line integral of the gauge connection. We
develop simple strategies to measure arbitrage using both simulated and real
market data. We find that, within our limited data sample, the market is
efficient at time horizons of one day or longer. However, we provide strong
evidence for non-zero arbitrage in high frequency intraday data. Such events
seem to have a decay time of the order of one minute.; Comment: 45 pages, 15 figures

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## Non-Arbitrage under a Class of Honest Times

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 01/04/2014
Português

Relevância na Pesquisa

46.14%

This paper addresses the question of non-arbitrage (precisely
No-Unbounded-Profit-with-Bounded-Risk, NUPBR hereafter) after a specific random
time. This study completes the one of Aksamit et al.
\cite{aksamit/choulli/deng/jeanblanc}, devoted to the study before the random
time, by elaborating results for the part after the random time under
consideration. We restrict our attention to honest times, and we characterize
the pairs of market and honest time for which the resulting model preserves the
NUPBR property. Furthermore, we characterize the honest times that preserve the
NUPBR property. These findings are essentially based on new stochastic results
that are interesting in themselves. Furthermore, we construct explicitly local
martingale deflators for a large class of processes.; Comment: 31 pages. arXiv admin note: text overlap with arXiv:1310.1142

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## Non-arbitrage for Informational Discrete Time Market Models

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 05/07/2014
Português

Relevância na Pesquisa

46.46%

This paper focuses on the stability of the non-arbitrage condition in
discrete time market models when some unknown information $\tau$ is
partially/fully incorporated into the market. Our main conclusions are twofold.
On the one hand, for a fixed market $S$, we prove that the non-arbitrage
condition is preserved under a mild condition. On the other hand, we give the
necessary and sufficient equivalent conditions on the unknown information
$\tau$ to ensure the validity of the non-arbitrage condition for any market.
Two concrete examples are presented to illustrate the importance of these
conditions, where we calculate explicitly the arbitrage opportunities when they
exist.; Comment: 22 pages

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## Non-Arbitrage up to Random Horizon for Semimartingale Models

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

46.38%

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

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## Arbitrage-free prediction of the implied volatility smile

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 21/07/2014
Português

Relevância na Pesquisa

26.38%

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...

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