Search results for "Arbitrage"

Generating Multi-Asset Arbitrage-Free Scenario Trees with Global Optimization

2013

Simulation models of economic, financial and business risk factors are widely used to assess risks and support decision-making. Extensive literature on scenario generation methods aims at describing some underlying stochastic processes with the least number of scenarios to overcome the "curse of dimensionality". There is, however, an important requirement that is usually overlooked when one departs from the application domain of security pricing: the no-arbitrage condition. We formulate a moment matching model to generate multi-factor scenario trees satisfying no-arbitrage restrictions with a minimal number of scenarios and without any distributional assumptions. The resulting global optimi…

Building a Consistent Pricing Model from Observed Option Prices

1999

This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps. The theoretical properties are studied. An easy procedure to check for arbitrage opportunities in market data is proved and then used to ensure the feasibility of our approach. The implementation is discussed: testing on market data reveals a U-shaped form for the "local volatility" depending on the state and, surprisingly, a large probability for strong price movements.

Compromis d'arbitrage. Définition. Litige soumis à l'arbitre. Mission d'évaluation d'une clientèle. Absence de caractère juridictionnel de la mission…

2001

International audience; (Paris 7 nov. 2000)

La tierce opposition dirigée contre une sentence rendue entre le créancier et le débiteur principal est ouverte à la caution solidaire de la dette

2016

International audience; (Com. 5 mai 2015, n° 14-16.644, PB, Soc. Sogire c/ Soc. Alfa Holding, D. 2015. 1046 ; ibid. 1810, obs. P. Crocq ; ibid. 2588, obs. T. Clay ; RTD civ. 2015. 882, obs. H. Barbier ; ibid. 933, obs. P. Théry ; JCP 2015. 877, note J. Ortscheid)

Arbitre. Récusation, Causes, Article 341 NCPC, Causes limitatives

1992

International audience; (Civ. 2e, 14 nov. 1990, Bull. civ. II, n° 230, p. 117 ; Rev. arb. 1991. 75, note Jarrosson, Société Graine d'Elite Clause)

The Intraday Interest Rate: What's that?

2015

We study the intraday interest rate in a CCP-based GC pooling repo market and its key determinants. Since collateral used in this market is identical to collateral eligible for the daylight overdraft facility of the Eurosystem, any intraday rate in this market cannot be a result of collateral constraints keeping banks from using the overdraft for arbitrage. Nevertheless, we find that in the crisis period a statistically and economically significant intraday spread (up to 60 basis points) prevailed that was only somewhat mitigated by the ECB's unconventional monetary policy measures. Our results show that this spread was mainly determined by the market liquidity of the repo market, suggestin…

Instance arbitrale en cours à la date de la demande déposée au secrétariat de l'institution convenue

1999

International audience; (Paris, 1re ch. C, 30 mars 1999, inédit, De Coninck et autres c/ Zanzi et autres)

Arbitrage interne. Tribunal arbitral ni constitué, ni saisi, Procédure de référé provision, Incompétence du président du tribunal de commerce, Compét…

1994

International audience; (Dijon, 23 juin 1993 (inédit), CGS Industries, SARL Cirus c/ Dandelot)

L'arbitrage forcé en Provence : le semi-échec d'une institution dénigrée par l'histoire

2007

Measuring investor sentiment in the stock market

2011

Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration. The purpose of this study is to examine the relative performance of a number of popular measures in predicting stock returns and to test the relative efficacy of a hybrid approach. Using a panel of investor sentiment measures, we develop a new measure of sentiment which combines direct and indirect sentiment measures. Our results show that our composite sentiment index affects the returns of stocks …