Author: Dana R. Clyman
Publisher:
ISBN:
Category : Decision making
Languages : en
Pages :

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Author: Brian Skyrms
Publisher: Oxford University Press
ISBN: 0199652805
Category : Philosophy
Languages : en
Pages : 263

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Brian Skyrms presents a set of influential essays which deploy formal methods to address epistemological and metaphysical questions. The first part of the book focuses on quantity; the second on degrees of belief, belief revision, and coherence; the third on aspects of inductive reasoning.

Author: Jun Deng
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 266

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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: Pablo Koch-Medina
Publisher: Springer Nature
ISBN: 3030397246
Category : Mathematics
Languages : en
Pages : 448

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Book Description
Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.

Author: Felix Stang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Michael Scott Rashes
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 356

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Author: Taychang Wang
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 142

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Author: Andrew Pole
Publisher: John Wiley & Sons
ISBN: 1118160738
Category : Business & Economics
Languages : en
Pages : 230

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Book Description
While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.

Author: Michaela Kiermeier
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 164

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Author: Evan G. Gatev
Publisher:
ISBN:
Category :
Languages : en
Pages : 250

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