Add to ORKGThe martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed
We introduce a methodology for testing the martingale-hypothesis from time-series observations of a ...
We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask ...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset marke...
This article introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizo...
This article introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizo...
We show a class of stochastic volatility price models for which the most natural candidates for mart...
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive ...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
Forecasts of risk prices at alternative time scales can be used to consolidate history dependence in...
International audienceBick (1987,1990) and He and Leland (1993) demonstrated that not every arbitrag...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
We introduce a methodology for testing the martingale-hypothesis from time-series observations of a ...
We introduce a methodology for testing the martingale-hypothesis from time-series observations of a ...
We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask ...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset marke...
This article introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizo...
This article introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizo...
We show a class of stochastic volatility price models for which the most natural candidates for mart...
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive ...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
Forecasts of risk prices at alternative time scales can be used to consolidate history dependence in...
International audienceBick (1987,1990) and He and Leland (1993) demonstrated that not every arbitrag...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
We introduce a methodology for testing the martingale-hypothesis from time-series observations of a ...
We introduce a methodology for testing the martingale-hypothesis from time-series observations of a ...
We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask ...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...