Página 7 dos resultados de 1137 itens digitais encontrados em 0.004 segundos
Resultados filtrados por Publicador: Universidade Cornell

Arbitrage-free SVI volatility surfaces

Gatheral, Jim; Jacquier, Antoine
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.99%
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX options data.; Comment: 25 pages, 6 figures Corrected some typos. Extended bibliography. Paper restructured, Main theorem (Theorem 4.1) improved. Proof of Theorem 4.3 amended

Hedging, arbitrage and optimality with superlinear frictions

Guasoni, Paolo; Rásonyi, Miklós
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 19/06/2015 Português
Relevância na Pesquisa
26.99%
In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. Such frictions induce a duality between feasible trading strategies and shadow execution prices with a martingale measure. Utility maximizing strategies exist even if arbitrage is present, because it is not scalable at will.; Comment: Published at http://dx.doi.org/10.1214/14-AAP1043 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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
26.99%
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
26.99%
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...