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- Biblioteca Digital da Unicamp
- Universidade Católica Portuguesa
- The National Academy of Sciences of the USA
- Massachusetts Institute of Technology
- World Bank, Washington, D.C.
- Universidade Nacional da Austrália
- Crawford School of Economics and Government, The Australian National University; http://www.crawford.anu.edu.au
- Universidade Carlos III de Madrid
- Real Academia de Ciencias Exactas, Físicas y Naturales
- World Bank, Washington, DC
- Université de Montréal
- Facultad de Economía
- National Bureau of Economic Research
- Universidade Cornell
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Resultados filtrados por Publicador: Universidade Cornell

## Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 20/01/2011
Português

Relevância na Pesquisa

26.99%

#Quantitative Finance - Risk Management#Quantitative Finance - Computational Finance#Quantitative Finance - Pricing of Securities#60J75, 91B70

This paper generalizes the framework for arbitrage-free valuation of
bilateral counterparty risk to the case where collateral is included, with
possible re-hypotecation. We analyze how the payout of claims is modified when
collateral margining is included in agreement with current ISDA documentation.
We then specialize our analysis to interest-rate swaps as underlying portfolio,
and allow for mutual dependences between the default times of the investor and
the counterparty and the underlying portfolio risk factors. We use
arbitrage-free stochastic dynamical models, including also the effect of
interest rate and credit spread volatilities. The impact of re-hypotecation, of
collateral margining frequency and of dependencies on the bilateral
counterparty risk adjustment is illustrated with a numerical example.

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## Correlation breakdown, copula credit default models and arbitrage

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 31/08/2009
Português

Relevância na Pesquisa

26.99%

The recent "correlation breakdown" in the modeling of credit default swaps,
in which model correlations had to exceed 100% in order to reproduce market
prices of supersenior tranches, is analyzed and argued to be a fundamental
market inconsistency rather than an inadequacy of the specific model. As a
consequence, markets under such conditions are exposed to the possibility of
arbitrage. The general construction of arbitrage portfolios under specific
conditions is presented.; Comment: 15 pages

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## Viscosity Characterization of the Arbitrage Function under Model Uncertainty

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 30/01/2015
Português

Relevância na Pesquisa

26.99%

We show that in an equity market model with Knightian uncertainty regarding
the relative risk and covariance structure of its assets, the arbitrage
function -- defined as the reciprocal of the highest return on investment that
can be achieved relative to the market using nonanticipative strategies, and
under any admissible market model configuration -- is a viscosity solution of
an associated Hamilton-Jacobi-Bellman (HJB) equation under appropriate
boundedness, continuity and Markovian assumptions on the uncertainty structure.
This result generalizes that of Fernholz and Karatzas (2011), who characterized
this arbitrage function as a classical solution of a Cauchy problem for this
HJB equation under much stronger conditions than those needed here.; Comment: arXiv admin note: text overlap with arXiv:1202.2999 by other authors

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## Diversity and relative arbitrage in equity markets

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 20/03/2008
Português

Relevância na Pesquisa

26.99%

A financial market is called "diverse" if no single stock is ever allowed to
dominate the entire market in terms of relative capitalization. In the context
of the standard Ito-process model initiated by Samuelson (1965) we formulate
this property (and the allied, successively weaker notions of "weak diversity"
and "asymptotic weak diversity") in precise terms. We show that diversity is
possible to achieve, but delicate. Several illustrative examples are provided,
which demonstrate that weakly-diverse financial markets contain relative
arbitrage opportunities: it is possible to outperform (or underperform) such
markets over sufficiently long time-horizons, and to underperform them
significantly over arbitrary time-horizons. The existence of such relative
arbitrage does not interfere with the development of option pricing, and has
interesting consequences for the pricing of long-term warrants and for put-call
parity. Several open questions are suggested for further study.; Comment: 28 pages

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## No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

26.99%

In a market of deterministic cash flows, given as an additive, symmetric
relation of exchangeability on the finite signed Borel measures on the
non-negative real time axis, it is shown that the only arbitrage-free price
functional that fulfills some additional mild requirements is the integral of
the unit zero-coupon bond prices with respect to the payment measures. For
probability measures, this is a Choquet representation, where the Dirac
measures, as unit zero-coupon bonds, are the extreme points. Dropping one of
the requirements, the Lebesgue decomposition is used to construct
counterexamples, where the Choquet price formula does not hold despite of an
arbitrage-free market model. The concept is then extended to deterministic
streams of assets and currencies in general, yielding a valuation principle for
forward markets. Under mild assumptions, it is shown that a foreign cash flow's
worth in local currency is identical to the value of the cash flow in local
currency for which the Radon-Nikodym derivative with respect to the foreign
cash flow is the forward FX rate.; Comment: JEL Classification: G12, G13

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## A note on asymptotic exponential arbitrage with exponentially decaying failure probability

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 26/07/2012
Português

Relevância na Pesquisa

26.99%

The goal of this paper is to prove a result conjectured in F\"ollmer and
Schachermayer [FS07], even in slightly more general form. Suppose that S is a
continuous semimartingale and satisfies a large deviations estimate; this is a
particular growth condition on the mean-variance tradeoff process of S. We show
that S then allows asymptotic exponential arbitrage with exponentially decaying
failure probability, which is a strong and quantitative form of long-term
arbitrage. In contrast to F\"ollmer and Schachermayer [FS07], our result does
not assume that S is a diffusion, nor does it need any ergodicity assumption.

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