Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the relationship between stochastic dominance and the Omega...

In this paper we present two dynamic models of background risk. We first present a stochastic factor model with an additive background risk. Thereafter, we present a dynamic model of simultaneous (correlated) multiplicative background risk and additive background risk. In so doing, we use a...

Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the...