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No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
arbitrage fundamental theorem of asset pricing transaction costs consistent pricing system liquidity dividends credit default swaps
2012/6/5
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Variance-optimal hedging Follmer-Schweizer decomposition Levy process Cumulative generating function Characteristic function
2012/6/5
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of in...
Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
utility maximization power utility exponential L´ evy process discretization
2011/3/31
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon.
Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
Transversality condition Dynamic optimization
2010/10/20
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, tw...
Discrete-Time Interest Rate Modelling
Interest rates models pricing kernels financial time series Flesaker-Hughston models transversality condition
2010/11/2
This paper presents an axiomatic scheme for interest rate models in discrete time.
We take a pricing kernel approach, which builds in the arbitrage-free property and pro-
vides a link to equilibrium...
Perfect and partial hedging for swing game options in discrete time
game options discrete time
2010/11/1
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without re...
Optimal partial hedging in a discrete-time market as a knapsack problem
Optimal partial discrete-time market knapsack problem
2010/11/2
Optimal partial hedging in a discrete-time market as a knapsack problem.
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...
Nonparametric Specifiation Tests of Discrete Time Spot Interest Rate Models in China
Spot RateModels Nonparametric Speci… cation Tests Generalized residuals Probability Integral Transform Q-Stats
2011/4/6
Understanding the dynamics of spot rates is very important for asset pricing, risk
management and interest rate liberalization. We examine a wide variety of popular
spot rate models in China, includ...