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Página 18 dos resultados de 1137 itens digitais encontrados em 0.013 segundos

- Universidade de Coimbra
- Universidade Cornell
- Faculty of Economics
- Universidade Duke
- Society for Industrial and Applied Mathematics
- Financial Markets Group, London School of Economics and Political Science
- Systemic Risk Centre, The London School of Economics and Political Science
- Springer
- London School of Economics and Political Science Thesis
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Resultados filtrados por Publicador: Universidade Cornell

## A proof of the Dalang-Morton-Willinger theorem

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 21/04/2008
Português

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We give a new proof of the Dalang-Morton-Willinger theorem, relating the
no-arbitrage condition in stochastic securities market models to the existence
of an equivalent martingale measure with bounded density for a $d$-dimensional
stochastic sequence $(S_n)_{n=0}^N$ of stock prices. Roughly speaking, the
proof is reduced to the assertion that under the no-arbitrage condition for N=1
and $S\in L^1$ there exists a strictly positive linear fucntional on $L^1$,
which is bounded from above on a special subset of the subspace $K\subset L^1$
of investor's gains.; Comment: 9 pages

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## On a Class of Diverse Market Models

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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A market model in Stochastic Portfolio Theory is a finite system of strictly
positive stochastic processes. Each process represents the capitalization of a
certain stock. If at any time no stock dominates almost the entire market,
which means that its share of total market capitalization is not very close to
one, then the market is called diverse. There are several ways to outperform
diverse markets and get an arbitrage opportunity, and this makes these markets
interesting. A feature of real-world markets is that stocks with smaller
capitalizations have larger drift coefficients. Some models, like the
Volatility-Stabilized Model, try to capture this property, but they are not
diverse. In an attempt to combine this feature with diversity, we construct a
new class of market models. We find simple, easy-to-test sufficient conditions
for them to be diverse and other sufficient conditions for them not to be
diverse.; Comment: Keywords: Stochastic Portfolio Theory; diverse markets; arbitrage
opportunity; Feller's test

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## Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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The two main approaches in credit risk are the structural approach pioneered
in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull
(1995) and in Artzner & Delbaen (1995). The goal of this article is to provide
a unified view on both approaches. This is achieved by studying reduced-form
approaches under weak assumptions. In particular we do not assume the global
existence of a default intensity and allow default at fixed or predictable
times with positive probability, such as coupon payment dates.
In this generalized framework we study dynamic term structures prone to
default risk following the forward-rate approach proposed in
Heath-Jarrow-Morton (1992). It turns out, that previously considered models
lead to arbitrage possibilities when default may happen at a predictable time
with positive probability. A suitable generalization of the forward-rate
approach contains an additional stochastic integral with atoms at predictable
times and necessary and sufficient conditions for a suitable no-arbitrage
condition (NAFL) are given. In the view of efficient implementations we develop
a new class of affine models which do not satisfy the standard assumption of
stochastic continuity.
The chosen approach is intimately related to the theory of enlargement of
filtrations...

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## On Financial Markets Based on Telegraph Processes

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 20/12/2007
Português

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The paper develops a new class of financial market models. These models are
based on generalized telegraph processes: Markov random flows with alternating
velocities and jumps occurring when the velocities are switching. While such
markets may admit an arbitrage opportunity, the model under consideration is
arbitrage-free and complete if directions of jumps in stock prices are in a
certain correspondence with their velocity and interest rate behaviour. An
analog of the Black-Scholes fundamental differential equation is derived, but,
in contrast with the Black-Scholes model, this equation is hyperbolic. Explicit
formulas for prices of European options are obtained using perfect and quantile
hedging.; Comment: To appear in a Special Volume of Stochastics: An International
Journal of Probability and Stochastic Processes
(http://www.informaworld.com/openurl?genre=journal%26issn=1744-2508) edited
by N.H. Bingham and I.V. Evstigneev which will be reprinted as Volume 57 of
the IMS Lecture Notes Monograph Series
(http://imstat.org/publications/lecnotes.htm)

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## Informed Traders

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Trading and Market Microstructure#Computer Science - Information Theory#Mathematics - Probability

An asymmetric information model is introduced for the situation in which
there is a small agent who is more susceptible to the flow of information in
the market than the general market participant, and who tries to implement
strategies based on the additional information. In this model market
participants have access to a stream of noisy information concerning the future
return of an asset, whereas the informed trader has access to a further
information source which is obscured by an additional noise that may be
correlated with the market noise. The informed trader uses the extraneous
information source to seek statistical arbitrage opportunities, while at the
same time accommodating the additional risk. The amount of information
available to the general market participant concerning the asset return is
measured by the mutual information of the asset price and the associated cash
flow. The worth of the additional information source is then measured in terms
of the difference of mutual information between the general market participant
and the informed trader. This difference is shown to be nonnegative when the
signal-to-noise ratio of the information flow is known in advance. Explicit
trading strategies leading to statistical arbitrage opportunities...

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## Monotonicity of the collateralized debt obligations term structure model

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 10/12/2015
Português

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The problem of existence of arbitrage free and monotone CDO term structure
models is studied. Conditions for positivity and monotonicity of the
corresponding Heath-Jarrow-Morton-Musiela equation for the $x$-forward rates
with the use of the Milian type result are formulated. Two state spaces are
taken into account - of square integrable functions and a Sobolev space. For
the first the regularity results concerning pointwise monotonicity are proven.
Arbitrage free and monotone models are characterized in terms of the volatility
of the model and characteristics of the driving L\'evy process.; Comment: 28 pages

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## On the Stickiness Property

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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In [2] the notion of stickiness for stochastic processes was introduced. It
was also shown that stickiness implies absense of arbitrage in a market with
proportional transaction costs. In this paper, we investigate the notion of
stickiness further. In particular, we give examples of processes that are not
semimartingales but are sticky.; Comment: Key words: Transaction costs. No Arbitrage. Sticky processes. Time
change

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## Physics of Finance

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 18/10/1997
Português

Relevância na Pesquisa

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#High Energy Physics - Theory#Condensed Matter - Statistical Mechanics#High Energy Physics - Lattice#High Energy Physics - Phenomenology#Physics - Physics and Society#Quantitative Finance - Pricing of Securities

We give a brief introduction to the Gauge Theory of Arbitrage. Treating a
calculation of Net Present Values (NPV) and currencies exchanges as a parallel
transport in some fibre bundle, we give geometrical interpretation of the
interest rate, exchange rates and prices of securities as a proper connection
components. This allows us to map the theory of capital market onto the theory
of quantized gauge field interacted with a money flow field. The gauge
transformations of the matter field correspond to a dilatation of security
units which effect is eliminated by a gauge transformation of the connection.
The curvature tensor for the connection consists of the excess returns to the
risk-free interest rate for the local arbitrage operation. Free quantum gauge
theory is equivalent to the assumption about the log-normal walks of assets
prices. In general case the consideration maps the capital market onto lattice
QED.; Comment: 17 pages, LaTeX, to appear in Proceeding of Budapest's conference on
Econophysics (July 1997)

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## A Modern Approach to the Efficient-Market Hypothesis

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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Market efficiency at least requires the absence of weak arbitrage
opportunities, but this is not sufficient to establish a situation where the
market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to"
some information flow including the evolution of asset prices. By contrast, No
Weak Arbitrage together with market sensitivity is sufficient and necessary for
a market to be informationally efficient.; Comment: This paper has been withdrawn by the author due to substantial
shortcomings of the concept of "market completeness" and some other issues
related to the definition of "market efficiency."

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