A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model, extends ...
前面的意思是无套利模型，无套利的英文是arbitrage free
1)model arbitrage模型套利 2)arbitrage-free models无套利模型 1.Since the equilibrium models of the term structure of interest rates do not automatically fit the observable term structure,this paper gives two types arbitrage-free models,namely calibrated model and HJM model,to explain the dynamics pro...
Arbitrage-free modelUnspanned stochastic volatilityInterest rate derivativesWe propose a generalized arbitrage-free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Neldoi:10.2139/ssrn.2509327Rui Chen...
a small number of constant parameters are usually enough to provide a good approximation of the term structure. A subtle and often overlooked property of arbitrage free term structure models is that numerically solving the stochastic process generated by an arbitrage free model will always necessarily...
A financial market with singular drift and no arbitrage Article Open access 25 November 2020 Statistical arbitrage in jump-diffusion models with compound Poisson processes Article 26 February 2021 Arbitrage-free modeling under Knightian uncertainty Article 09 June 2020 1...
Cont R., and Vuletic M. 2023. “Simulation of Arbitrage-Free Implied Volatility Surfaces.”Applied Mathematical Finance30 (2): 94–121. https://doi.org/10.1080/1350486X.2023.2277960. Google Scholar Cuchiero C., Khosrawi W., and Teichmann J. 2020. “A Generative Adversarial Network Approach ...
Others engage in the peer-to-peer markets, trading Bitcoin to profit from arbitrage opportunities in the ecosystem. Roselyne Wanjiru, Forbes.com, 10 Apr. 2025 Everywhere Ventures continues to identify opportunities where business model arbitrage, technology shifts and regional advantages create space for...
By the way, the hand free trunk and frunk via UWB... Jan 17, 2025 A arbitrage000 replied to the thread Refreshed Y (Juniper/Opal) finally released [in China - Posted 09JAN2025]. Articles have been reporting that feature. Shown in a short video clip on the Asian MY websites of ...
基于Arbitrage-FreeSVI模型的期权做市策略.PDF,基于Arbitrage-Free SVI 模型的 期权做市策略 ——国信证券另类投资总部 摘要:本文主要提出了一种收益稳定的期权做市交易策略。首先我们对期权波动 率曲面进行建立,相对于以往的随机波动率模型不同,我们先对传统的一个常用