Search Results - subject:"Numéraire invariance"

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Leverage and risk relativity: how to beat an index

Bermin, Hans-Peter; Holm, Magnus - 2021

Persistent link: https://www.econbiz.de/10012500171

Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk

He, Xue Dong; Peng, Xianhua - In: Operations research 66 (2018) 5, pp. 1268-1275

Persistent link: https://www.econbiz.de/10011932441

Diversification, protection of liability holders and regulatory arbitrage

Koch Medina, Pablo; Munari, Cosimo-Andrea; Ṥikić, Mario - In: Mathematics and financial economics 11 (2017) 1, pp. 63-83

Persistent link: https://www.econbiz.de/10011900516

Numéraire-invariant preferences in financial modeling

Kardaras, Constantinos - London School of Economics (LSE) - 2010

We provide an axiomatic foundation for the representation of numéraire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice rule: the agent prefers one outcome over another if and only...

Persistent link: https://www.econbiz.de/10010884726

Numeraire Invariance and application to Option Pricing and Hedging

Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2008

This is a short version of the paper of Exchange Options (2007), concentrating on the principle of numeraire invariance …

Persistent link: https://www.econbiz.de/10005787005

Exchange Options

Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2007

exponential Poisson cases are worked out. Numeraire invariance is emphasized as the primary means to reduce dimensionality by one …

Persistent link: https://www.econbiz.de/10005619898