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Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
Tavin, Bertrand - In: Journal of banking & finance 53 (2015), pp. 158-178
Persistent link: https://www.econbiz.de/10011377717
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A financial market with singular drift and no arbitrage
Agram, Nacira; Øksendal, Bernt K. - In: Mathematics and financial economics 15 (2021) 3, pp. 477-500
Persistent link: https://www.econbiz.de/10012586178
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An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
Ponomareva, K.; Roman, D.; Date, P. - In: European journal of operational research : EJOR 240 (2015) 3, pp. 678-687
Persistent link: https://www.econbiz.de/10010486971
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Comment on "an algorithm for moment-matching scenario generation with application to financial portfolio optimization"
Contreras, Juan Pablo; Bosch, Paul; Herrera, Mauricio - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1180-1184
Persistent link: https://www.econbiz.de/10011866903
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …
Persistent link: https://www.econbiz.de/10012421289
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Correlation risk, strings and asset prices
Mele, Antonio; Distaso, Walter; Vilkov, Grigory - 2019
Persistent link: https://www.econbiz.de/10012181112
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An elementary exposition of the no strong arbitrage principle for financial markets
Becker, Robert Allen - 2017
Persistent link: https://www.econbiz.de/10011688412
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Applying ESG-based arbitrage with ETFs
Rompotis, Gerasimos G. - In: International journal of accounting and finance 11 (2022) 2, pp. 99-114
Persistent link: https://www.econbiz.de/10014306703
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A no-arbitrage theorem for uncertain stock model
Yao, Kai - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 2, pp. 227-242
Persistent link: https://www.econbiz.de/10011313626
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No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate
Ji, Xiaoyu; Ke, Hua - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 2, pp. 221-234
Persistent link: https://www.econbiz.de/10011805600