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  • Search: subject_exact:"APT (Arbitrage Pricing Theory)"
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Year of publication
Subject
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Arbitrage Pricing 956 Arbitrage pricing 956 Theorie 703 Theory 703 USA 339 United States 338 Arbitrage 261 CAPM 252 Portfolio selection 147 Portfolio-Management 147 Optionspreistheorie 123 Yield curve 121 Zinsstruktur 121 Option pricing theory 119 Börsenkurs 97 Share price 97 Estimation 87 Schätzung 87 Derivat 82 Derivative 82 Capital income 79 Kapitaleinkommen 79 Martingale 52 Martingal 51 Aktienmarkt 50 Stock market 50 Volatility 50 Volatilität 50 Risk premium 47 Stochastic process 47 Stochastischer Prozess 47 Risikoprämie 46 Financial market 45 Finanzmarkt 45 Hedging 44 Interest rate derivative 44 Zinsderivat 44 Transaction costs 43 Transaktionskosten 43 Risk 42
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Online availability
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Free 169 Undetermined 119
Type of publication
All
Article 536 Book / Working Paper 420
Type of publication (narrower categories)
All
Article in journal 472 Aufsatz in Zeitschrift 472 Graue Literatur 269 Non-commercial literature 269 Arbeitspapier 264 Working Paper 264 Hochschulschrift 63 Thesis 58 Aufsatz im Buch 50 Book section 50 Lehrbuch 16 Collection of articles written by one author 13 Sammlung 13 Bibliografie enthalten 9 Bibliography included 9 Glossar enthalten 6 Glossary included 6 Collection of articles of several authors 3 Sammelwerk 3 Amtsdruckschrift 2 Commentary 2 Forschungsbericht 2 Government document 2 Kommentar 2 Konferenzschrift 2 Systematic review 2 Übersichtsarbeit 2 Bibliografie 1 CD-ROM, DVD 1 Case study 1 Conference proceedings 1 Einführung 1 Fallstudie 1 Mikroform 1
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Language
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English 880 German 61 Spanish 10 French 2 Italian 2 Polish 1
Author
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Le Van, Cuong 17 Platen, Eckhard 15 Rudebusch, Glenn D. 12 Diebold, Francis X. 10 Christensen, Jens H. E. 9 Kabanov, Jurij M. 9 Björk, Tomas 8 Rásonyi, Miklós 8 Vayanos, Dimitri 8 Fletcher, Jonathan 7 Herings, Peter Jean-Jacques 7 Khan, Ali 7 Page, Frank H. 7 Sun, Yeneng 7 Cassese, Gianluca 6 Cornet, Bernard 6 Entorf, Horst 6 Jamin, Gösta 6 Jouini, Elyès 6 Nietert, Bernhard 6 Schachermayer, Walter 6 Wilhelm, Jochen 6 Beißner, Patrick 5 Bodie, Zvi 5 Cauchie, Séverine 5 Croitoru, Benjamin 5 Friberg, Richard 5 Hoesli, Martin 5 Jarrow, Robert A. 5 Kane, Alex 5 Kondor, Péter 5 Marcus, Alan J. 5 Milne, Frank 5 Polemarchakis, Heraklis M. 5 Schoenmakers, John 5 Wooders, Myrna Holtz 5 Allouch, Nizar 4 Bayraktar, Erhan 4 Başak, Suleyman 4 Boisdeffre, Lionel de 4
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Institution
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Weierstraß-Institut für Angewandte Analysis und Stochastik 4 Bonn Graduate School of Economics 2 Centre for Economic Policy Research 2 Ekonomiska forskningsinstitutet <Stockholm> 2 Johns Hopkins University / Department of Economics 2 University of Cambridge / Department of Applied Economics 2 Universität Passau / Wirtschaftswissenschaftliche Fakultät 2 Associazione Amici della Scuola Normale Superiore di Pisa 1 Books on Demand GmbH <Norderstedt> 1 Brown University / Department of Economics 1 Centre for International Economic Studies 1 Federal Reserve System / Board of Governors 1 Institute of Chartered Financial Analysts / Research Foundation 1 International Center for Financial Asset Management and Engineering 1 Københavns Universitet / Økonomisk Institut 1 McMaster University / Department of Economics 1 Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn> / Projektbereich Variable und Informationsabhängige Strukturen 1 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 1 University of Cambridge / Faculty of Economics 1 University of Chicago / Center for Research in Security Prices 1 University of Warwick / Department of Economics 1 Universität Hannover / Wirtschaftswissenschaftliche Fakultät 1 Universität Regensburg / Wirtschaftswissenschaftliche Fakultät 1 Ûnîversîṭat Bar-Îlān <Rāmat-Gan> / Department of Economics 1
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Published in...
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Finance and stochastics 34 International journal of theoretical and applied finance 22 Journal of mathematical economics 22 Journal of banking & finance 18 Journal of financial economics 18 Working paper / National Bureau of Economic Research, Inc. 16 Mathematical finance : an international journal of mathematics, statistics and financial theory 12 Mathematics and financial economics 12 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 12 Economic theory : official journal of the Society for the Advancement of Economic Theory 10 Economics letters 10 Annals of finance 9 Discussion paper / Centre for Economic Policy Research 9 Journal of economic theory 8 Research paper series / Swiss Finance Institute 8 Gabler Edition Wissenschaft 7 Journal of economic dynamics & control 7 Applied financial economics 6 Applied mathematical finance 6 Journal of empirical finance 6 The journal of computational finance 6 Asia-Pacific financial markets 5 Discussion paper series / LSE Financial Markets Group 5 Research paper / Quantitative Finance Research Group, University of Technology Sydney 5 The journal of finance : the journal of the American Finance Association 5 CESifo working papers 4 Decisions in economics and finance : DEF ; a journal of applied mathematics 4 Discussion papers / CEPR 4 International journal of economics and finance 4 International review of economics & finance : IREF 4 Journal of econometrics 4 Journal of financial and quantitative analysis : JFQA 4 Journal of international financial markets, institutions & money 4 Latin American business review : journal of the Business Association of Latin American Studies (BALAS) 4 Mathematical social sciences 4 Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik 4 SSE EFI working paper series in economics and finance 4 Springer finance 4 Staff report / Research Department, Federal Reserve Bank of Minneapolis 4 Staff reports / Federal Reserve Bank of New York 4
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Source
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ECONIS (ZBW) 956
Showing 1 - 50 of 956
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Advertising arbitrage
Kovbasyuk, Sergey; Pagano, Marco - 2020
Arbitrageurs with a short investment horizon gain from accelerating price discovery by advertising their private information. However, advertising many assets may overload investors' attention, reducing the number of informed traders per asset and slowing price discovery. So arbitrageurs...
Persistent link: https://ebtypo.dmz1.zbw/10012251032
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A test of the Modigliani-Miller theorem, dividend policy and algorithmic arbitrage in experimental asset markets
Neugebauer, Tibor; Shachat, Jason M.; Szymczak, Wiebke - 2020
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Deep arbitrage-free learning in a generalized HJM framework via arbitrage-regularization
Kratsios, Anastasis; Hyndman, Cody - In: Risks : open access journal 8 (2020) 2/40, pp. 1-30
A regularization approach to model selection, within a generalized HJM framework, is introduced, which learns the closest arbitrage-free model to a prespecified factor model. This optimization problem is represented as the limit of a one-parameter family of computationally tractable penalized...
Persistent link: https://ebtypo.dmz1.zbw/10012204431
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Market impact and performance of arbitrageurs of financial bubbles in an agent-based model
Westphal, Rebecca; Sornette, Didier - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012051958
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Regulatory arbitrage and cross-border syndicated loans
Demirgüç-Kunt, Asli; Horváth, Bálint; Huizinga, Harry - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012106462
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Nibor, Libor and Euribor - all IBORs, but different
Kloster, Arne; Syrstad, Olav - 2019
This memo takes a closer look at what lays behind different benchmark interest rates. Particular emphasis is put on how the different practices for quotation can explain why Nibor's risk premium has on average been higher than the premiums in USD Libor and Euribor.
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Persistent link: https://ebtypo.dmz1.zbw/10012114963
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The role of factor strength and pricing errors for estimation and inference in asset pricing models
Pesaran, M. Hashem; Smith, Ron - 2019
In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...
Persistent link: https://ebtypo.dmz1.zbw/10012118575
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Coherent-price systems and uncertainty-neutral valuation
Beißner, Patrick - In: Risks : open access journal 7 (2019) 3/98, pp. 1-18
This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the paper by Ross (1976) (Ross, Stephen A....
Persistent link: https://ebtypo.dmz1.zbw/10012126423
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Prediction model of box office based on arbitrage pricing theory : an empirical analysis from China
Qingshi, Wang; Naiqian, Li; Ali, Hashmat - In: International journal of economics and financial issues … 9 (2019) 5, pp. 16-23
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The laws of motion of the broker call rate in the United States
Garivaltis, Alex - In: International Journal of Financial Studies : open … 7 (2019) 4/56, pp. 1-23
In this paper, which is the third installment of the author´s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic...
Persistent link: https://ebtypo.dmz1.zbw/10012150532
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Term structure modeling under volatility uncertainty : a forward rate model driven by G-Brownian Motion
Hölzermann, Julian; Lin, Qian - 2019
We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G-Brownian motion. In order to formulate the model, we extend the G-framework to integration with respect to two integrators and prove a version of Fubini's theorem for stochastic...
Persistent link: https://ebtypo.dmz1.zbw/10012009895
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Macro-finance and factor timing : time-varying factor risk and price of risk premiums
Souza, Thiago de Oliveira - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012098285
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International volatility arbitrage
Tosi, Adriano - In: Essays in systematic asset pricing, (pp. 19-89). 2019
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Put-call parity in Indian stock markets post turmoil settlement
Gupta, Pankaj Kumar - In: Trends economics and management 12 (2018) 32, pp. 49-61
Purpose of the article: Put and call prices have a deterministic relationship for identical options irrespective of the investor dmand. The theoretical put-call parity (PCP) relationship may be analysed to explore the arbitrage opportunity and determine the extent of market efficiency. We have...
Persistent link: https://ebtypo.dmz1.zbw/10012022238
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Sources of financial synchronism : arbitrage theory and the promise of risk-free profit
Langenohl, Andreas - In: Finance and society 4 (2018) 1, pp. 26-40
This article argues that the temporality of the financial economy ought to be seen as radically synchronistic. "Synchronism" refers to both an epistemological and practical approach that addresses finance neither with a view to the past nor to the future, but is instead focused on the moment...
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Bank-intermediated arbitrage
Boyarchenko, Nina; Eisenbach, Thomas M.; Gupta, Pooja; … - 2018
We argue that post-crisis bank regulation can explain large, persistent deviations from parity on basis trades requiring leverage. Documenting the financing cost and balance sheet impact on a broad array of basis trades for regulated institutions, we show that the implied return on equity on...
Persistent link: https://ebtypo.dmz1.zbw/10011868543
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Is hard Brexit detrimental to EU integration? : theory and evidence
Mikolajun, Irena; Viaene, Jean-Marie - 2018
In the struggle between the forces of free trade and the restrictive influence of insularism the latter recently seems to have the upper hand. This is illustrated by the referendum of June 23, 2016 where the United Kingdom (UK) voted to leave the Europea+n Union (EU). In this paper we evaluate...
Persistent link: https://ebtypo.dmz1.zbw/10011892540
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The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time
Beißner, Patrick; Rosazza Gianin, Emanuela - 2018
Recent empirical studies suggest a downward sloping term structure of Sharpe ratios. We present a theoretical framework in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an arbitrage-free and incomplete market setting when different...
Persistent link: https://ebtypo.dmz1.zbw/10011899208
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Volatility term structure modeling using Nelson-Siegel model
Malinska, Barbora; Barunik, Jozef - 2018
Understanding of volatility term structure is highly relevant both for market agents and policymakers. As traditional methodologies often bring results contradicting situation on the markets, we revisit volatility term structure modeling in univariate case. In this paper we benefit from...
Persistent link: https://ebtypo.dmz1.zbw/10011901974
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Arbitrage free dispersion
Orlowski, Piotr; Sali, Andras; Trojani, Fabio - 2018 - This version: August 10, 2018
Persistent link: https://ebtypo.dmz1.zbw/10012003245
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Arbitrage theory in continuous time
Björk, Tomas - 2020 - Fourth edition
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Persistent link: https://ebtypo.dmz1.zbw/10012116253
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No arbitrage in continuous financial markets
Criens, David - In: Mathematics and financial economics 14 (2020) 3, pp. 461-506
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Advertising arbitrage
Pagano, Marco; Kovbasyuk, Sergei - 2020
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A no-arbitrage perspective on global arbitrage opportunities
Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012225663
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Bank-intermediated arbitrage
Boyarchenko, Nina; Eisenbach, Thomas M.; Gupta, Pooja; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012252702
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The value of informational arbitrage
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio - In: Finance and stochastics 24 (2020) 2, pp. 277-307
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Capital structure arbitrage under a risk-neutral calibration
Zeitsch, Peter J. - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23
By reinterpreting the calibration of structural models, a reassessment of the importance of the input variables is undertaken. The analysis shows that volatility is the key parameter to any calibration exercise, by several orders of magnitude. To maximize the sensitivity to volatility, a simple...
Persistent link: https://ebtypo.dmz1.zbw/10011619118
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Weak time-derivatives and no arbitrage pricing
Marinacci, Massimo; Severino, Federico - 2017 - This version: December, 2017
Persistent link: https://ebtypo.dmz1.zbw/10011805855
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Latency arbitrage when markets become faster
Hollifield, Burton; Sandås, Patrik; Todd, Andrew - 2017
We measure the incidence of latency arbitrage for cross-listed stocks around the time of an exogenous shock that made the markets faster. Our sample is from NASDAQ Nordic and consists of Nordic blue chip firms listed and traded in multiple markets. We document a sharp decline in the incidence of...
Persistent link: https://ebtypo.dmz1.zbw/10011657416
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Risky arbitrage and collateral policies
Zhang, Ally Quan - 2017 - Last Update: October 6, 2017
Persistent link: https://ebtypo.dmz1.zbw/10011874838
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ETF arbitrage under liquidity mismatch
Pan, Kevin; Zeng, Yao - 2017
A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the fragility of these ETFs. We focus on corporate bond ETFs...
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The extended SSVI volatility surface
Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/19) 5, pp. 25-39
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Pointwise arbitrage pricing theory in discrete time
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, … - In: Mathematics of operations research 44 (2019) 3, pp. 1034-1057
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Preiseffizienz, Arbitrage und Anlegeraufmerksamkeit : eine Analyse möglicher Einflussfaktoren auf die Preiseffizienz europäischer ETFs
Hilton, Roland Guy; Möller, Rouven; Doering, Philipp - In: Corporate finance : Finanzierung, Kapitalmarkt, … 10 (2019) 9/10, pp. 278-285
Persistent link: https://ebtypo.dmz1.zbw/10012111299
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Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 23 (2019) 4, pp. 1049-1077
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No-arbitrage and hedging with liquid American options
Bayraktar, Erhan; Zhou, Zhou - In: Mathematics of operations research 44 (2019) 2, pp. 468-486
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One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka; Kennedy, Joanne E. - In: The journal of computational finance 23 (2019) 3, pp. 61-100
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The counterparty risk exposure of ETF investors
Hurlin, Christophe; Iseli, Grégoire; Pérignon, Christophe - In: Journal of banking & finance 102 (2019), pp. 215-230
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Regulatory arbitrage and cross-border syndicated loans
Demirgüç-Kunt, Asli; Horváth, Bálint; Huizinga, Harry - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012121221
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Arbitrage equilibria in large games with many commodities
Toraubally, Waseem A. - In: Economics letters 179 (2019), pp. 24-28
Persistent link: https://ebtypo.dmz1.zbw/10012121676
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Data-driven investigation into anomaly trading strategies : evidence with econometrics
French, Jordan - In: Disruptive innovation in business and finance in the …, (pp. 221-245). 2019
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Arbitrage conditions for electricity markets with production and storage
Kovacevic, Raimund - In: Computational Management Science : CMS 16 (2019) 4, pp. 671-696
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Robust calibration and arbitrage-free interpolation of SSVI slices
Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 665-677
Persistent link: https://ebtypo.dmz1.zbw/10012127308
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Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-17
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Pricing derivatives in hermite markets
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Mittnik, Stefan - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-27
Persistent link: https://ebtypo.dmz1.zbw/10012153100
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Election predictions are arbitrage-free : response to Taleb : letter to the editors
Clayton, Aubrey - In: Quantitative finance 19 (2019) 11, pp. 1771-1774
Persistent link: https://ebtypo.dmz1.zbw/10012194825
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Limits to arbitrage and CDS–bond dynamics around the financial crisis
Chalamandaris, George; Pagratis, Spyros - In: Journal of empirical finance 54 (2019), pp. 213-235
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Correlation risk, strings and asset prices
Mele, Antonio; Distaso, Walter; Vilkov, Grigory - 2019
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Vermögensillusion : Preis-Wert-Verhältnis (P/W), Blasen und das unterschätze Risiko von Kapitalanlagen im Niedrig-Zins-Umfeld
Gleißner, Werner - In: Corporate finance : Finanzierung, Kapitalmarkt, … 10 (2019) 7/8, pp. 223-233
Persistent link: https://ebtypo.dmz1.zbw/10012039563
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On the spot-futures no-arbitrage relations in commodity markets
Aïd, René; Campi, Luciano; Lautier, Delphine - In: Financial mathematics, volatility and covariance modelling, (pp. 170-190). 2019
Persistent link: https://ebtypo.dmz1.zbw/10012249114
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