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A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Persistent link: https://www.econbiz.de/10002569891

A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options /

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....

Persistent link: https://www.econbiz.de/10009728973

A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Persistent link: https://www.econbiz.de/10002569872

A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...

Persistent link: https://www.econbiz.de/10009728974

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE

Liang, Gechun - 2016

In an incomplete market, with incompleteness stemming from stochas- tic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exponential and logarithmic) for- ward performance processes in factor-form using ergodic BSDE. We also develop a...

Persistent link: https://www.econbiz.de/10012979215

Efficient XVA Management : Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning

Kenyon, Chris - 2014

focus on pricing, hedging, and allocation of prices or hedging costs to desks on an individual trade basis. We show how to …

Persistent link: https://www.econbiz.de/10013040052

Momentum and Mean-Reversion in Commodity Spot and Futures Markets

Chaves, Denis B. - 2016

We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but...

Persistent link: https://www.econbiz.de/10012984051

Commodity Index Trading and Hedging Costs

Brunetti, Celso - 2012

predicts that CIT trading reduces the cost of hedging. We test the model using a unique non-public dataset which precisely …

Persistent link: https://www.econbiz.de/10013115392

Optimal Carry and Momentum Returns in Futures Markets : A Compensation for Capital Constrained Hedge Funds?

Ahmerkamp, Jan Danilo - 2013

We provide evidence that speculative capital of hedge funds is a key determinant for the profitability of optimal carry and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from the perspective of a utility maximizing risk averse...

Persistent link: https://www.econbiz.de/10013085038

Derivatives Hedging : SASOL (Pty) Ltd. as an Example

Sebehela, Tumellano - 2013

The empirical study analyzes derivative hedging strategies that can be implemented for an investor who has been holding … between SASOL's stock and the JSE Top 40 Index changes, this empirical report recommends a different derivative hedging … execution of a derivative hedging strategy does not mean that no losses will be incurred, but that ideally, the overall net …

Persistent link: https://www.econbiz.de/10013092486