Stability of No-Arbitrage Property Under Model Uncertainty PDF Download
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Author: Vladimir Ostrovski
Publisher:
ISBN:
Category :
Languages : en
Pages : 6
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Book Description
We study the stability of the no-arbitrage property under model uncertainty. We measure model uncertainty with the total variation distance of underlying probability distributions. We show that sufficiently small changes of the underlying probability distribution preserve the no-arbitrage property of the financial market model.
Author: Vladimir Ostrovski
Publisher:
ISBN:
Category :
Languages : en
Pages : 6
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Book Description
We study the stability of the no-arbitrage property under model uncertainty. We measure model uncertainty with the total variation distance of underlying probability distributions. We show that sufficiently small changes of the underlying probability distribution preserve the no-arbitrage property of the financial market model.
Author: Mathieu Le Bellac
Publisher: World Scientific Publishing Company
ISBN: 981314212X
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
Since 2007, the repeated financial crises around the world have brought to the headlines financial practices and models considered to fuel the economic instabilities. Deep Dive into Financial Models: Modeling Risk and Uncertainty comes handy in demystifying the underlying quantitative finance concepts. With a limited use of mathematical formalism, the book explains thoroughly the models, their hypotheses, principles and other building blocks. A particular care is given to model limitations and their misuse for investment strategies, asset pricing, or risk management. Its reader-friendly nature provides readers with a head start in quantitative finance.
Author: Erhan Bayraktar
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Book Description
We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time. We first show that no arbitrage holds if and only if there exists some family of probability measures such that any admissible portfolio value process is a local super-martingale under these measures. We also get the non-dominated optional decomposition with constraints. From this decomposition, we get duality of the super-hedging prices of European options, as well as the sub- and super-hedging prices of American options. Finally, we get the FTAP and duality of super-hedging prices in a market where stocks are traded dynamically and options are traded statically.
Author: Eduardo S. Schwartz
Publisher: MIT Press
ISBN: 9780262693189
Category : Business & Economics
Languages : en
Pages : 890
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Book Description
The study of investment under uncertainty was stagnant for several decades until developments in real options revitalized the field. The topics covered in this book include the reasons behind the under-investment programme.
Author: Steven P. Greiner
Publisher: John Wiley & Sons
ISBN: 1118421418
Category : Business & Economics
Languages : en
Pages : 608
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Book Description
Valuable insights on the major methods used in today's asset and risk management arena Risk management has moved to the forefront of asset management since the credit crisis. However, most coverage of this subject is overly complicated, misunderstood, and extremely hard to apply. That's why Steven Greiner—a financial professional with over twenty years of quantitative and modeling experience—has written Investment Risk and Uncertainty. With this book, he skillfully reduces the complexity of risk management methodologies applied across many asset classes through practical examples of when to use what. Along the way, Greiner explores how particular methods can lower risk and mitigate losses. He also discusses how to stress test your portfolio and remove the exposure to regular risks and those from "Black Swan" events. More than just an explanation of specific risk issues, this reliable resource provides practical "off-the-shelf" applications that will allow the intelligent investor to understand their risks, their sources, and how to hedge those risks. Covers modern methods applied in risk management for many different asset classes Details the risk measurements of truly multi-asset class portfolios, while bridging the gap for managers in various disciplines—from equity and fixed income investors to currency and commodity investors Examines risk management algorithms for multi-asset class managers as well as risk managers, addressing new compliance issues and how to meet them The theory of risk management is hardly ever spelled out in practical applications that portfolio managers, pension fund advisors, and consultants can make use of. This book fills that void and will put you in a better position to confidently face the investment risks and uncertainties found in today's dynamic markets.
Author: Samuel N. Cohen
Publisher: Springer Nature
ISBN: 3030222853
Category : Mathematics
Languages : en
Pages : 300
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Book Description
This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics. This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.
Author: Asian Development Bank
Publisher: Asian Development Bank
ISBN: 9292570862
Category : Business & Economics
Languages : en
Pages : 132
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Book Description
The development and analysis of financial soundness indicators help policy makers identify the strengths and vulnerabilities in their countries' financial systems and take preventive action to avert a crisis or at least minimize its effects. This publication presents the country-case studies for Bangladesh, Georgia, and Viet Nam focusing on the growing evidences in the development of financial soundness indicators to effectively monitor the financial performance of the country. With the support from Investment Climate Facilitation Fund under the Regional Cooperation and Integration Financing Facility, the tales of three countries shows the diverse financial vulnerabilities of each economy. For example, Georgia and Viet Nam have met capital adequacy standards but Bangladesh has faltered in this aspect for it requires an injection of capital into state-owned commercial banks that is contingent upon improved governance. On the other hand, Georgia and Viet Nam could have been more susceptible to global economic crises than Bangladesh. A significant amount of public and private debt in Georgia is denominated in foreign currency while Viet Nam's economic openness---largely because of rapid economic integration in East Asia---has made it vulnerable to global economic slowdowns.
Author: Heiner Ganßmann
Publisher: Routledge
ISBN: 1136640800
Category : Business & Economics
Languages : en
Pages : 202
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Book Description
This book puts in place the groundwork for an alternative theory of money in a sociological perspective, proceeding by way of a critique of existing theories.
Author: Albert N. Shiryaev
Publisher: World Scientific
ISBN: 9812385193
Category : Mathematics
Languages : en
Pages : 852
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Book Description
This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.
Author: Hans Föllmer
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110463458
Category : Mathematics
Languages : en
Pages : 608
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Book Description
This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one period Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Part II: Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures
