Risk Arbitrage and Hedging to Acceptability

We conclude that the principle of no-dynamic-arbitrage excludes exponential decay of market impact for any reasonable instantaneous market impact function f ( · ).... Why

Carleson for having suggested the theme of this paper and for valuable guidance... These choices are clearly

First introduced by Faddeev and Kashaev [7, 9], the quantum dilogarithm G b (x) and its variants S b (x) and g b (x) play a crucial role in the study of positive representations

The NUPBR condi- tion under a progressive enlargement with a random time was studied for the particular case of complete market with continuous filtration, when τ avoids F

Keywords: Backtesting; capital allocation; coherence; diversification; elicitability; expected shortfall; expectile; forecasts; probability integral transform (PIT); risk measure;

Section 1 and 2 provide a detailed derivation of the hedging portfolio in a pure jump dynamics for the risky bond, whereas Section 3 deals with the more realistic case of a

This last step does NOT require that all indicator be converted - best if only a small percent need to be reacted to make the change visible.. Note the

Thus, in all compound tenses (i.e. tenses where an auxiliary is required, such as the passé composé), adverbs are placed right after the auxiliary and just before the past