Author: Jun Deng
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 266
Book Description
This thesis develops three major essays on Arbitrage Theory, Market's Viability and Informational Markets. The first essay (Chapter 3) elaborates the exact connections among the No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) condition, the existence of the numeraire portfolio, and market's weak/local viability. These tight relationships together with the financial crisis become our principal financial/economic leitmotif for the development of the next essay. In the second essay (Chapter 4 - Chapter 6), we focus on quantifying with extreme precision the effect of some additional information/uncertainty on the non-arbitrage concepts. As a result, we describe the interplay of this extra information and the market's parameters for these non-arbitrage concepts to be preserved. Herein, we focus on the classical no-arbitrage and the NUPBR condition. This study contains two main parts. In the first part of this essay (Chapter 4), we analyze practical examples of market models and extra information/uncertainty, for which we construct explicit "classical" arbitrage opportunities generated by the extra infor- mation/uncertainty. These examples are built in Brownian filtration and in Poisson filtration as well. The second part (Chapters 5 and 6) addresses the NUPBR condition in two different directions. On the one hand, we describe the pairs of market model and random time for which the resulting informational market model fulfills the NUPBR condition. On the other hand, we characterize the random time models that preserve the NUPBR condition. These results are elaborated for general market models with special attention to practical models such as discrete-time and Levy market models. The last essay (Chapter 7) investigates the effect of additional information on the Structure Conditions. These conditions are the alternatives to the non-arbitrage and viability assumption in the Markowitz settings.
Essays on Arbitrage Theory for a Class of Informational Markets
Author: Jun Deng
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 266
Book Description
This thesis develops three major essays on Arbitrage Theory, Market's Viability and Informational Markets. The first essay (Chapter 3) elaborates the exact connections among the No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) condition, the existence of the numeraire portfolio, and market's weak/local viability. These tight relationships together with the financial crisis become our principal financial/economic leitmotif for the development of the next essay. In the second essay (Chapter 4 - Chapter 6), we focus on quantifying with extreme precision the effect of some additional information/uncertainty on the non-arbitrage concepts. As a result, we describe the interplay of this extra information and the market's parameters for these non-arbitrage concepts to be preserved. Herein, we focus on the classical no-arbitrage and the NUPBR condition. This study contains two main parts. In the first part of this essay (Chapter 4), we analyze practical examples of market models and extra information/uncertainty, for which we construct explicit "classical" arbitrage opportunities generated by the extra infor- mation/uncertainty. These examples are built in Brownian filtration and in Poisson filtration as well. The second part (Chapters 5 and 6) addresses the NUPBR condition in two different directions. On the one hand, we describe the pairs of market model and random time for which the resulting informational market model fulfills the NUPBR condition. On the other hand, we characterize the random time models that preserve the NUPBR condition. These results are elaborated for general market models with special attention to practical models such as discrete-time and Levy market models. The last essay (Chapter 7) investigates the effect of additional information on the Structure Conditions. These conditions are the alternatives to the non-arbitrage and viability assumption in the Markowitz settings.
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 266
Book Description
This thesis develops three major essays on Arbitrage Theory, Market's Viability and Informational Markets. The first essay (Chapter 3) elaborates the exact connections among the No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) condition, the existence of the numeraire portfolio, and market's weak/local viability. These tight relationships together with the financial crisis become our principal financial/economic leitmotif for the development of the next essay. In the second essay (Chapter 4 - Chapter 6), we focus on quantifying with extreme precision the effect of some additional information/uncertainty on the non-arbitrage concepts. As a result, we describe the interplay of this extra information and the market's parameters for these non-arbitrage concepts to be preserved. Herein, we focus on the classical no-arbitrage and the NUPBR condition. This study contains two main parts. In the first part of this essay (Chapter 4), we analyze practical examples of market models and extra information/uncertainty, for which we construct explicit "classical" arbitrage opportunities generated by the extra infor- mation/uncertainty. These examples are built in Brownian filtration and in Poisson filtration as well. The second part (Chapters 5 and 6) addresses the NUPBR condition in two different directions. On the one hand, we describe the pairs of market model and random time for which the resulting informational market model fulfills the NUPBR condition. On the other hand, we characterize the random time models that preserve the NUPBR condition. These results are elaborated for general market models with special attention to practical models such as discrete-time and Levy market models. The last essay (Chapter 7) investigates the effect of additional information on the Structure Conditions. These conditions are the alternatives to the non-arbitrage and viability assumption in the Markowitz settings.
Essays on Arbitrage
Author: Michael Scott Rashes
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 356
Book Description
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 356
Book Description
Three Essays on Arbitrage in Expectations
Author: Evan G. Gatev
Publisher:
ISBN:
Category :
Languages : en
Pages : 250
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 250
Book Description
Essays on Arbitrage and Rationality
Author: Dana R. Clyman
Publisher:
ISBN:
Category : Decision making
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Decision making
Languages : en
Pages :
Book Description
Essays on Arbitrage Activities
Author: Umit Gurkan Gurun
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 360
Book Description
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 360
Book Description
Essays on Arbitrage Pricing Theory and Contagion in a Financial Network
Author: Felix Stang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Ph.D.-serie
Author: Davide Tomio
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Essays on the Theory of Arbitrage Pricing
Author: Taychang Wang
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 142
Book Description
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 142
Book Description
Essays on International Arbitrage and Market Efficiency
Author: John Halvard Noer
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 296
Book Description
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 296
Book Description
Essays on Arbitrage and Market Liquidity
Author: Davide Tomio
Publisher:
ISBN: 9788793579163
Category :
Languages : en
Pages : 193
Book Description
Publisher:
ISBN: 9788793579163
Category :
Languages : en
Pages : 193
Book Description