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  • Search: subject_exact:"Arbitrage theory"
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Year of publication
Subject
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Arbitrage 1,842 Theorie 1,060 Theory 1,059 USA 903 United States 900 CAPM 274 Arbitrage Pricing 255 Arbitrage pricing 254 Börsenkurs 239 Share price 239 Portfolio selection 198 Portfolio-Management 198 Derivat 182 Derivative 182 Schätzung 133 Estimation 132 Capital income 130 Kapitaleinkommen 130 Index futures 116 Index-Futures 116 Yield curve 115 Zinsstruktur 115 Option pricing theory 108 Optionspreistheorie 108 Anlageverhalten 104 Behavioural finance 104 Efficient market hypothesis 101 Effizienzmarkthypothese 101 Volatility 100 Volatilität 100 Transaction costs 93 Transaktionskosten 91 Welt 76 World 76 Hedging 74 Financial market 70 Finanzmarkt 70 Deutschland 69 Germany 68 Risiko 68
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Online availability
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Free 572 Undetermined 85
Type of publication
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Article 1,198 Book / Working Paper 652 Other 1
Type of publication (narrower categories)
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Article in journal 1,110 Aufsatz in Zeitschrift 1,110 Graue Literatur 452 Non-commercial literature 452 Working Paper 432 Arbeitspapier 431 Hochschulschrift 66 Aufsatz im Buch 65 Book section 65 Thesis 55 Collection of articles written by one author 17 Sammlung 17 Amtsdruckschrift 15 Collection of articles of several authors 15 Government document 15 Sammelwerk 15 Bibliografie enthalten 9 Bibliography included 9 Case study 5 Commentary 5 Conference paper 5 Fallstudie 5 Kommentar 5 Konferenzbeitrag 5 Aufsatzsammlung 4 Conference proceedings 4 Konferenzschrift 4 Mehrbändiges Werk 4 Multi-volume publication 4 Handbook 3 Handbuch 3 Forschungsbericht 2 Bibliografie 1 Biografie 1 Biography 1 Einführung 1 Interview 1 Lehrbuch 1 Nachschlagewerk 1 Ratgeber 1
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Language
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English 1,740 German 76 French 22 Italian 4 Spanish 3 Undetermined 3 Portuguese 2 Finnish 1 Croatian 1 Norwegian 1 Polish 1
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Author
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Jouini, Elyès 19 Vayanos, Dimitri 18 Chichilnisky, Graciela 17 Jarrow, Robert A. 17 Stübinger, Johannes 15 Fung, Joseph K. W. 13 Kempf, Alexander 11 Krauss, Christopher 11 Ghosh, Dilip K. 10 Gromb, Denis 9 Page, Frank H. 9 Branch, Ben Shirley 8 Dow, James 8 Goldstein, Itay 8 Kallal, Hédi D. 8 Le Van, Cuong 8 Rime, Dagfinn 8 Stein, Jeremy C. 8 Bamberg, Günter 7 Bühler, Wolfgang 7 Röder, Klaus 7 Tse, Yiuman 7 Zigrand, Jean-Pierre 7 Apreda, Rodolfo 6 Carassus, Laurence 6 Endres, Sylvia 6 Franzoni, Francesco 6 Jiang, Wei 6 Monfort, Alain 6 Moosa, Imad A. 6 Rahi, Rohit 6 Taylor, Alan M. 6 Wang, Jia 6 Whaley, Robert E. 6 Agarwal, Vikas 5 Akram, Qaisar Farooq 5 Ben-David, Itzhak 5 Booth, G. Geoffrey 5 Edmans, Alex 5 Gorton, Gary 5
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Institution
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 5 Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg> 3 Centre for Economic Policy Research 2 Rodney L. White Center for Financial Research 2 University of Strathclyde / Department of Economics 2 Associazione Amici della Scuola Normale Superiore di Pisa 1 Bonn Graduate School of Economics 1 Centre for Analytical Finance <Århus> 1 Centro de Estudios Macroeconómicos de Argentina / Universidad 1 Chambre de commerce et d'industrie de Paris 1 Cornell University / Cornell Food and Nutrition Policy Program 1 Deutsche Vereinigung für Finanzanalyse und Anlageberatung 1 Economic Research Southern Africa (ERSA) 1 Ekonomiska forskningsinstitutet <Stockholm> 1 Ernst & Young 1 European University Institute / Department of Economics 1 Fakultät für Wirtschaftswissenschaften, Universität Passau 1 Federal Reserve Bank of New York 1 HAL 1 Institut für Höhere Studien und Wissenschaftliche Forschung 1 Institute of Finance and Accounting <London> 1 Mid-America Institute for Public Policy Research <Chicago, Ill.> 1 Queen Mary College / Department of Economics 1 Research Seminar in International Economics 1 Russell Sage Foundation 1 SUERF - The European Money and Finance Forum 1 SUERF Conference on Banking Reform <2015, London> 1 Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn> / Projektbereich Variable und Informationsabhängige Strukturen 1 Stanford Institute for Economic Policy Research 1 Svenska Handelshögskolan <Helsinki> 1 Swiss Finance Institute 1 Technische Universiteit Delft / Department of Mathematics and Computer Science 1 USA / Committee on Governmental Affairs / Permanent Subcommittee on Investigations 1 Universitat Pompeu Fabra / Departament d'Economia i Empresa 1 University of Chicago / Center for Research in Security Prices 1 University of Hong Kong / School of Economics and Finance 1 University of Warwick / Department of Economics 1 Université Paris-Dauphine (Paris IX) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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The journal of futures markets 55 The journal of finance : the journal of the American Finance Association 37 Working paper / National Bureau of Economic Research, Inc. 35 Mathematical finance : an international journal of mathematics, statistics and financial theory 34 Discussion paper / Centre for Economic Policy Research 32 The review of financial studies 32 Journal of banking & finance 31 Journal of financial economics 31 Finance and stochastics 27 International journal of theoretical and applied finance 22 Pacific-Basin finance journal 17 Journal of mathematical economics 16 Mathematics and financial economics 16 International review of financial analysis 15 Journal of international financial markets, institutions & money 14 Research paper series / Swiss Finance Institute 14 Applied economics 12 Discussion paper / Tinbergen Institute 12 Energy economics 12 Série des documents de travail / Centre de Recherche en Économie et Statistique 12 Annals of finance 11 Discussion papers / CEPR 11 Journal of financial and quantitative analysis : JFQA 11 Journal of financial markets 11 Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques 11 International review of economics & finance : IREF 10 Journal of empirical finance 10 The European journal of finance 10 The journal of business : B 10 Discussion paper series / Department of Economics, Columbia University 9 Financial analysts' journal : FAJ 9 Management science : journal of the Institute for Operations Research and the Management Sciences 9 Review of quantitative finance and accounting 9 Discussion papers / LSE Financial Markets Group 8 Journal of risk and financial management : JRFM 8 Quantitative finance 8 Staff reports / Federal Reserve Bank of New York 8 Economic theory : official journal of the Society for the Advancement of Economic Theory 7 Economics letters 7 Fisher College of Business working paper series 7
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Source
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ECONIS (ZBW) 1,844 RePEc 5 BASE 1 EconStor 1
Showing 1 - 50 of 1,851
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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...
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020 - This Version: July 2020
This paper applies recently developed procedures to monitor and date so-called "financial market dislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate...
Persistent link: https://ebtypo.dmz1.zbw/10012251074
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Investor sentiment, investor crowded-trade behavior, and limited arbitrage in the cross section of stock returns
Zhou, Liyun; Yang, Chunpeng - In: Empirical economics : a journal of the Institute for … 59 (2020) 1, pp. 437-460
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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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Trading strategies generated pathwise by functions of market weights
Karatzas, Ioannis; Kim, Donghan - In: Finance and stochastics 24 (2020) 2, pp. 423-463
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Market fragmentation and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012259262
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Arbitrage and beliefs
Khorrami, Paymon; Zentefis, Alexander K. - 2020
We study a segmented-markets setting in which self-fulfilling volatility can arise. The only requirements are (i) asset price movements redistribute wealth across markets (e.g., equities rise as bonds fall) and (ii) some stabilizing force keeps valuation ratios stationary (e.g., cash flow growth...
Persistent link: https://ebtypo.dmz1.zbw/10012260973
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Externalities as arbitrage
Hébert, Benjamin M. - 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...
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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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A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
Gradojevic, Nikola; Erdemlioglu, Deniz; Gençay, Ramazan - In: Economic modelling 85 (2020), pp. 57-73
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Inflated credit ratings, regulatory arbitrage and capital requirements : do investorsstrategically allocate bond portfolios?
Boermans, Martijn; Kroft, Bram van der - 2020
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Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities
Gambacorta, Leonardo; Mayordomo, Sergio; Serena, José … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012168989
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Execution risk and arbitrage opportunities in the foreign exchange markets
Itō, Takatoshi; Yamada, Kenta; Takayasu, Misako; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012194176
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Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities
Gambacorta, Leonardo; Mayordomo, Sergio; Serena, José … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012198409
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A stochastic Gordon-Shapiro formula with excess volatility
Kruschwitz, Lutz; Löffler, Andreas - 2020 - Version from May 29, 2020
It is well-known that stock prices fluctuate far more than dividends. Traditional valuation methods are not able to depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive cash flows process with random coefficients. We show that...
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Unintended consequences of the global derivatives market reform
Gandré, Pauline; Mariathasan, Mike; Merrouche, Ouarda; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012179682
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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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No-arbitrage commodity option pricing with market manipulation
Aïd, René; Callegaro, Giorgia; Campi, Luciano - In: Mathematics and financial economics 14 (2020) 3, pp. 577-603
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Cash-forward arbitrage and dealer capital in MBS markets: COVID-19 and beyond
Chen, Jiakai; Liu, Haoyang; Sarkar, Asani; Song, Zhaogang - 2020 - Revised September 2020
We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) alleviated price dislocations. We find that the cash-forward basis, or the price difference between the cash and forward markets...
Persistent link: https://ebtypo.dmz1.zbw/10012243623
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Arbitrage-free modeling under Knightian uncertainty
Burzoni, Matteo; Maggis, Marco - In: Mathematics and financial economics 14 (2020) 4, pp. 635-659
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Asymmetric arbitrage trading on offshore and onshore renminbi markets
Eraslan, Sercan - In: Empirical economics : a journal of the Institute for … 57 (2019) 5, pp. 1653-1675
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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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Preferences with taste shock representations : price volatility and the liquidity premium
Krishna, R. Vijay; Sadowski, Philipp - In: Mathematical social sciences 101 (2019), pp. 41-46
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Stock market valuation, foreign investment, and cross-country arbitrage
Wang, Liu - In: Global finance journal 40 (2019), pp. 74-84
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Stock-ADR arbitrage : microstructure risk
Mitra, Sovan; Raju Chinthalapati, V. L.; Clark, Ephraim; … - In: Journal of international financial markets, … 63 (2019), pp. 1-15
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Review of stochastic differential equations in statistical arbitrage pairs trading
Endres, Sylvia - In: Managerial economics 20 (2019) 2, pp. 71-118
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Arbitrage involvement and security prices
Hwang, Byoung-Hyoun; Liu, Baixiao; Xu, Wei - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2858-2875
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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
Persistent link: https://ebtypo.dmz1.zbw/10012042223
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Crude oil contango arbitrage and the floating storage decision
Regli, Frederik; Adland, Roar - In: Transportation research / E : an international journal 122 (2019), pp. 100-118
Persistent link: https://ebtypo.dmz1.zbw/10011994972
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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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Model-free stochastic collocation for an arbitrage-free implied volatility, part II
Le Floc’h, Fabien; Oosterlee, Cornelis Willebrordus - In: Risks : open access journal 7 (2019) 1/30, pp. 1-21
This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model-free interpolation of implied volatilities. We explore various spline formulations, including B-spline representations. We explain how to calibrate the different...
Persistent link: https://ebtypo.dmz1.zbw/10012015886
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Default ambiguity
Fadina, Tolulope; Schmidt, Thorsten - In: Risks : open access journal 7 (2019) 2/64, pp. 1-17
This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty in the default intensity but also discuss uncertainty in the recovery in a fractional recovery of the market value. This approach is a first step towards integrating uncertainty in credit-risky term...
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A general framework for portfolio theory, part III, multi-period markets and modular approach
Maier-Paape, Stanislaus; Platen, Andreas; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 2/60, pp. 1-31
This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53] to multi-period markets. This extension is...
Persistent link: https://ebtypo.dmz1.zbw/10012018996
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Does international stock index arbitrage exist?
Meissner, Gunter; Ng, Olivia; Villarreal, Pedro - In: The journal of investment strategies 8 (2019) 1, pp. 11-27
Persistent link: https://ebtypo.dmz1.zbw/10012020342
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Arbitrage free approximations to candidate volatility surface quotations
Madan, Dilip B.; Schoutens, Wim - In: Journal of risk and financial management : JRFM 12 (2019) 2/69, pp. 1-21
It is argued that the growth in the breadth of option strikes traded after the financial crisis of 2008 poses difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain approximations are proposed as an alternative. They are shown...
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The impact of algorithmic trading in a simulated asset market
Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
In this work we simulate algorithmic trading (AT) in asset markets to clarify its impact. Our markets consist of human and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage strategies. Our specific contributions are: (1)...
Persistent link: https://ebtypo.dmz1.zbw/10012022150
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Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...
Persistent link: https://ebtypo.dmz1.zbw/10012022240
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Statistical arbitrage in cryptocurrency markets
Fischer, Thomas Günter; Krauss, Christopher; Deinert, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/31, pp. 1-15
Machine learning research has gained momentum-also in finance. Consequently, initial machine-learning-based statistical arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013); Moritz and Zimmermann (2014); Krauss et al....
Persistent link: https://ebtypo.dmz1.zbw/10012022334
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Geometric no-arbitrage analysis in the dynamic financial market with transaction costs
Tang, Wanxiao; Zhao, Jun; Zhao, Peibiao - In: Journal of risk and financial management : JRFM 12 (2019) 1/26, pp. 1-17
The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero....
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Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
Coculescu, Delia; Jeanblanc, Monique - In: Finance and stochastics 23 (2019) 2, pp. 397-421
Persistent link: https://ebtypo.dmz1.zbw/10012023743
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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
Persistent link: https://ebtypo.dmz1.zbw/10012028629
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Financial reporting quality, investment horizon, and institutional investor trading strategies
Bushee, Brian J.; Goodman, Theodore H.; Sunder, Shyam V. - In: The accounting review : a publication of the American … 94 (2019) 3, pp. 87-112
Persistent link: https://ebtypo.dmz1.zbw/10012029337
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Expectations for statistical arbitrage in energy futures markets
Nakajima, Tadahiro - In: Journal of risk and financial management : JRFM 12 (2019) 1/14, pp. 1-12
Energy futures have become important as alternative investment assets to minimize the volatility of portfolio return, owing to their low links with traditional financial markets. In order to make energy futures markets grow further, it is necessary to expand expectations of returns from trading...
Persistent link: https://ebtypo.dmz1.zbw/10011961529
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Foreign exchange markets with Last Look
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie - In: Mathematics and financial economics 13 (2019) 1, pp. 1-30
Persistent link: https://ebtypo.dmz1.zbw/10012055750
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How local in time is the no-arbitrage property under capital gains taxes?
Kühn, Christoph - In: Mathematics and financial economics 13 (2019) 3, pp. 329-358
Persistent link: https://ebtypo.dmz1.zbw/10012055822
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Dispersion trading : an empirical analysis on the S&P 100 options
Ferrari, Pierpaolo; Poy, Gabriele; Abate, Guido - In: Investment management and financial innovations 16 (2019) 1, pp. 178-188
Persistent link: https://ebtypo.dmz1.zbw/10012056045
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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
Persistent link: https://ebtypo.dmz1.zbw/10012126683
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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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Do idiosyncratic jumps matter?
Kapadia, Nishad; Zekhnini, Morad - In: Journal of financial economics 131 (2019) 3, pp. 666-692
Persistent link: https://ebtypo.dmz1.zbw/10012133035
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