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- Academia de Ciencias Administrativas
- Instituto Politécnico de Bragança
- Pontifícia Universidade Católica do Rio Grande do Sul; Porto Alegre
- Universidade Carlos III de Madrid
- Massachusetts Institute of Technology
- Universidade Cornell
- Universidade de São Paulo. Escola de Economia, Administração e Contabilidade
- Universidade de São Paulo. Faculdade de Filosofia, Letras e Ciências Humanas
- Financial Markets Group, London School of Economics and Political Science
- London School of Economics and Political Science Thesis
- Facultad de Contaduría y Administración, UNAM
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Resultados filtrados por Publicador: Universidade Cornell

## On arbitrages arising from honest times

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

17.14%

In the context of a general continuous financial market model, we study
whether the additional information associated with an honest time gives rise to
arbitrage profits. By relying on the theory of progressive enlargement of
filtrations, we explicitly show that no kind of arbitrage profit can ever be
realised strictly before an honest time, while classical arbitrage
opportunities can be realised exactly at an honest time as well as after an
honest time. Moreover, stronger arbitrages of the first kind can only be
obtained by trading as soon as an honest time occurs. We carefully study the
behavior of local martingale deflators and consider no-arbitrage-type
conditions weaker than NFLVR.; Comment: 25 pages, revised version

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## Robust pricing and hedging of double no-touch options

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 06/01/2009
Português

Relevância na Pesquisa

17.14%

Double no-touch options, contracts which pay out a fixed amount provided an
underlying asset remains within a given interval, are commonly traded,
particularly in FX markets. In this work, we establish model-free bounds on the
price of these options based on the prices of more liquidly traded options
(call and digital call options). Key steps are the construction of super- and
sub-hedging strategies to establish the bounds, and the use of Skorokhod
embedding techniques to show the bounds are the best possible.
In addition to establishing rigorous bounds, we consider carefully what is
meant by arbitrage in settings where there is no {\it a priori} known
probability measure. We discuss two natural extensions of the notion of
arbitrage, weak arbitrage and weak free lunch with vanishing risk, which are
needed to establish equivalence between the lack of arbitrage and the existence
of a market model.; Comment: 32 pages, 5 figures

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## On the Market Viability under Proportional Transaction Costs

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

17.14%

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

This paper studies the market viability with proportional transaction costs
in the sense that the utility maximization problems defined on terminal
liquidation values admit optimal solutions. Instead of requiring the existence
of strictly consistent price systems (SCPS) as in the literature, we show that
strictly consistent local martingale systems (SCLMS) can successfully serve as
the dual elements such that the market viability can be verified. We introduce
two weaker notions of no arbitrage conditions on market models named no
unbounded profit with bounded risk (NUPBR) and no local arbitrage with bounded
portfolios (NLABP). In particular, we reveal that the NUPBR and NLABP
conditions in the robust sense for the smaller bid-ask spreads is the
equivalent characterization of the existence of SCLMS for general market
models. As a consequence, the relationship between NUPBR and NLABP conditions
in the robust sense and the market viability is examined. Moreover, different
types of arbitrage opportunities with transaction costs are also discussed and
the comparison between our setting and the frictionless market models is also
presented.; Comment: Major Revision. Keywords: Proportional Transaction Costs, (Robust) No
Unbounded Profit with Bounded Risk...

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## Valuation and Hedging of Contracts with Funding Costs and Collateralization

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

17.14%

The research presented in this work is motivated by recent papers by Brigo et
al. (2011), Burgard and Kjaer (2009), Cr\'epey (2012), Fujii and Takahashi
(2010), Piterbarg (2010) and Pallavicini et al. (2012). Our goal is to provide
a sound theoretical underpinning for some results presented in these papers by
developing a unified framework for the non-linear approach to hedging and
pricing of OTC financial contracts. We introduce a systematic approach to
valuation and hedging in nonlinear markets, that is, in markets where cash
flows of the financial contracts may depend on the hedging strategies. Our
systematic approach allows to identify primary sources of and quantify various
adjustment to valuation and hedging, primarily the funding and liquidity
adjustment and credit risk adjustment. We propose a way to define no-arbitrage
in such nonlinear markets, and we provide conditions that imply absence of
arbitrage in some specific market trading models. Accordingly, we formulate a
concept of no-arbitrage price, and we provide relevant (non-linear) BSDE that
produces the no-arbitrage price in case when the contract's cash flows can be
replicated.

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## Variations on an example of Karatzas and Ruf

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 08/12/2015
Português

Relevância na Pesquisa

17.14%

Markets composed of stocks with capitalization processes represented by
positive continuous semimartingales are studied under the condition that the
market excess growth rate is bounded away from zero. The following examples of
these markets are given: i) a market with a singular covariance matrix and
instantaneous relative arbitrage; ii) a market with a singular covariance
matrix and no arbitrage; iii) a market with a nonsingular covariance matrix and
no arbitrage; iv) a market with a nonsingular covariance matrix and relative
arbitrage over an arbitrary time horizon.; Comment: 8 pages

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