Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
Sign Up to like & getrecommendations! Published in 2019 at "Finance and Stochastics"
DOI: 10.1007/s00780-019-00386-3
Abstract: Under short-sales prohibitions, no free lunch with vanishing risk (NFLVRS) is known to be equivalent to the existence of an equivalent supermartingale measure for the price process (Pulido in Ann. Appl. Probab. 24:54–75, 2014). We… read more here.
Keywords: short sales; supermartingale measure; arbitrage rules; sales constraints ... See more keywords
Robust calibration and arbitrage-free interpolation of SSVI slices
Sign Up to like & getrecommendations! Published in 2019 at "Decisions in Economics and Finance"
DOI: 10.1007/s10203-019-00249-8
Abstract: We describe a robust calibration algorithm of a set of SSVI maturity slices (i.e., a set of 3 SSVI parameters $$\theta _t, \rho _t, \varphi _t$$θt,ρt,φt attached to each option maturity t available on the market),… read more here.
Keywords: ssvi; calibration arbitrage; arbitrage; robust calibration ... See more keywords
No-arbitrage concepts in topological vector lattices
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DOI: 10.1007/s11117-021-00848-z
Abstract: We provide a general framework for no-arbitrage concepts in topological vector lattices, which covers many of the well-known no-arbitrage concepts as particular cases. The main structural condition we impose is that the outcomes of trading… read more here.
Keywords: vector lattices; arbitrage concepts; arbitrage; concepts topological ... See more keywords
Arbitrage analysis for different energy storage technologies and strategies
Sign Up to like & getrecommendations! Published in 2021 at "Energy Reports"
DOI: 10.1016/j.egyr.2021.09.009
Abstract: Abstract The time-varying mismatch between electricity supply and demand is a growing challenge for the electricity market. This difference will be exacerbated with the fast-growing renewable energy penetration to the grid, due to its inherent… read more here.
Keywords: storage; energy; energy storage; arbitrage ... See more keywords
Relative value arbitrage in European commodity markets
Sign Up to like & getrecommendations! Published in 2018 at "Energy Economics"
DOI: 10.1016/j.eneco.2017.11.005
Abstract: Abstract This study offers insights into the profitability of convergence trading in European commodity markets, thereby shedding light on the compensation for enforcing the Law of One Price. We analyze profits of a cointegration-based statistical… read more here.
Keywords: relative value; value arbitrage; arbitrage; european commodity ... See more keywords
China’s future growth depends on innovation entrepreneurs
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Chinese Economic and Business Studies"
DOI: 10.1080/14765284.2017.1287540
Abstract: Abstract The last 30 years of high growth rates were primarily China’s latecomer advantage unleashed by reform and opening. This latecomer advantage provided entrepreneurs with tremendous opportunities for arbitrage. It is the arbitrage activities of… read more here.
Keywords: future growth; china future; innovation; arbitrage ... See more keywords
Maritime Piracy and the Ambiguous Art of Existential Arbitrage
Sign Up to like & getrecommendations! Published in 2023 at "Current Anthropology"
DOI: 10.1086/724981
Abstract: This paper explores the ways in which maritime labor, maritime risk, and seafarers’ survival are embedded in the financial logics and practices of the global shipping industry. By employing the notion of “existential arbitrage,” the… read more here.
Keywords: ambiguous art; arbitrage; maritime piracy; existential arbitrage ... See more keywords
Price discovery and persistent arbitrage violations in credit markets
Sign Up to like & getrecommendations! Published in 2019 at "Financial Management"
DOI: 10.1111/fima.12261
Abstract: This paper investigates price violations in credit markets using a data sample spanning from 2002 to 2016. We find that price violations are highly persistent during the crisis period, particularly for speculative‐grade bonds. There is… read more here.
Keywords: violations credit; price; credit markets; arbitrage ... See more keywords
Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Money, Credit and Banking"
DOI: 10.1111/jmcb.12849
Abstract: We consider an arbitrage strategy that exactly replicates the cash flow of a sovereign nominal bond using inflation swaps and inflation‐linked bonds. The strategy reveals a violation of the law of one price in the… read more here.
Keywords: arbitrage international; arbitrage; sovereign debt; debt markets ... See more keywords
An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty
Sign Up to like & getrecommendations! Published in 2017 at "Mathematical Problems in Engineering"
DOI: 10.1155/2017/5769205
Abstract: In financial markets with volatility uncertainty, we assume that their risks are caused by uncertain volatilities and their assets are effectively allocated in the risk-free asset and a risky stock, whose price process is supposed… read more here.
Keywords: interval arbitrage; markets volatility; arbitrage; volatility uncertainty ... See more keywords
Bank Regulatory Capital Arbitrage: Evidence from Housing Overappraisals
Sign Up to like & getrecommendations! Published in 2023 at "Management Science"
DOI: 10.1287/mnsc.2023.4805
Abstract: The overstatement of asset collateral values reduces bank capital requirements. We identify this novel form of regulatory arbitrage by studying housing overappraisals, the difference between housing collateral values computed by appraisers and actual transaction prices.… read more here.
Keywords: housing; arbitrage; bank; capital ... See more keywords