Zobrazeno 1 - 10
of 976
pro vyhledávání: '"Risk arbitrage"'
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
In the following, we recall the notions of arbitrage, completeness and option pricing in quite general one-period (or multi-period) market models, but always based on a finite sample space.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e64eae43d9085411322f1d72c641d8b7
https://doi.org/10.1007/978-3-031-28378-9_4
https://doi.org/10.1007/978-3-031-28378-9_4
Autor:
Liam A. Gallagher, Mark C. Hutchinson
Publikováno v:
SSRN Electronic Journal.
This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is a
Autor:
Gordon Schulze
Publikováno v:
Atlantic Economic Journal. 49:23-40
The returns to carry trades are controversially discussed. There seems to be no unifying risk-based explanation of currency returns and stock returns, while the countries’ interest rate differential plays a leading part in the carry-trade performan
Publikováno v:
Operations Research. 69:100-113
Research about equity index options has shown that option prices systematically violate rational pricing bounds for the risk-averse representative investor. These results raise the question of whether profitable trading possibilities exist in this ma
Publikováno v:
International Journal of Managerial Finance. 17:185-213
PurposeThis paper explores the effects of US President Donald Trump's Twitter messages (tweets) on the stock prices of media and non-media companies.Design/methodology/approachThe authors’ empirical analysis considers all Twitter messages posted by
Publikováno v:
Review of Finance. 25(4):997-1046
Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices underreact to information in financial media. A one standard deviation increase in the media-implied probability of merger comple
Publikováno v:
Journal of Financial Research. 42:525-552
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo-trading strategy
Autor:
William T. Ziemba, Steven D. Moffitt
Publikováno v:
Wilmott. 2019:52-63
Akademický článek
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Autor:
Ralf Korn, Bernd Luderer
Publikováno v:
Money and Mathematics ISBN: 9783658346768
In practice, price differences can occur at different markets, at least for a short time. By taking advantage of arbitrage, one may be able to benefit from this phenomenon.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7e7e389725e914688bdabac19878b63a
https://doi.org/10.1007/978-3-658-34677-5_38
https://doi.org/10.1007/978-3-658-34677-5_38