Essays on Arbitrage Activities PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Essays on Arbitrage Activities PDF full book. Access full book title Essays on Arbitrage Activities by Umit Gurkan Gurun. Download full books in PDF and EPUB format.
Author: Umit Gurkan Gurun
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 360
Get Book Here
Book Description
Author: Umit Gurkan Gurun
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 360
Get Book Here
Book Description
Author: Jun Deng
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 266
Get Book Here
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.
Author: Michael Scott Rashes
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 356
Get Book Here
Book Description
Author: Evan G. Gatev
Publisher:
ISBN:
Category :
Languages : en
Pages : 250
Get Book Here
Book Description
Author: Dana R. Clyman
Publisher:
ISBN:
Category : Decision making
Languages : en
Pages :
Get Book Here
Book Description
Author: Davide Tomio
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Felix Stang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: In-gu Yi
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 156
Get Book Here
Book Description
Author: Taychang Wang
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 142
Get Book Here
Book Description
Author: Davide Tomio
Publisher:
ISBN: 9788793579163
Category :
Languages : en
Pages : 193
Get Book Here
Book Description
