Empirical research has provided evidence supporting the existence of arbitrage opportunities in real financial markets although market imperfections are often the main reason to explain these empirical deviations. Consequently, recent literature has turned the attention to imperfect markets in order to extend the most significant results on asset pricing. This paper develops several stochastic measures providing relative arbitrage earnings available in a financial market. The measures allow us to take into account different type of frictions. They are introduced by means of several dual pairs of vector optimization problems. Primal problems permit us to characterize the arbitrage absence even in an imperfect market and they also provide opt...
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
This Ph.D. thesis consists of four dependent chapters and is devoted to a systematic study of arbitr...
Empirical research has provided evidence supporting the existence of arbitrage opportunities in real...
In the literature on stochastic programming models for practical portfolio investment problems, rela...
Lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in ...
The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes ...
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive ...
In this paper we introduce a measure testing the degree of efficiency in securities markets with bid...
The paper presents sorne vector optimization problems to measure arbitrage and integration of financ...
The notion of integration of different fmancial markets is often related to the absence of crossmark...
When the markets are dynamically complete and without imperfections there are three equivalent appro...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...
In a 1997 paper, Hansen and Jagannathan develop two pricing error measures for asset pricing models....
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
This Ph.D. thesis consists of four dependent chapters and is devoted to a systematic study of arbitr...
Empirical research has provided evidence supporting the existence of arbitrage opportunities in real...
In the literature on stochastic programming models for practical portfolio investment problems, rela...
Lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in ...
The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes ...
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive ...
In this paper we introduce a measure testing the degree of efficiency in securities markets with bid...
The paper presents sorne vector optimization problems to measure arbitrage and integration of financ...
The notion of integration of different fmancial markets is often related to the absence of crossmark...
When the markets are dynamically complete and without imperfections there are three equivalent appro...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...
In a 1997 paper, Hansen and Jagannathan develop two pricing error measures for asset pricing models....
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
This Ph.D. thesis consists of four dependent chapters and is devoted to a systematic study of arbitr...