منابع مشابه
Geometric Analysis and Spectral Theory Aisenstadt Chairs
The Aisenstadt Chair allows us to welcome in each of the thematic programs, two or three world-famous mathematicians for a one-week to a one-semester stay. The recipients of the chair give a series of conferences on set subjects, chosen because of their relevance and impact, within the thematic program, the first of which, in compliance to the donor André Aisenstadt ’s wish, must be accessible ...
متن کاملSimple Arbitrage Theory
In this paper we treat, under fairly general conditions, the question of whether asset prices admit a martingale measure when the markets are free of arbitrage opportunities. The arbitrage opportunities we consider are restricted to originate from simple trading strategies, which are most closely related to actual market portfolios. It is shown that if such simple arbitrage profits are excluded...
متن کاملVirtual Arbitrage Pricing Theory
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities. The resulting relations reduce to the APT for an infinitely fast market reaction or in the case wh...
متن کاملOn a Connection between Spectral Factorization and Geometric Control Theory
We investigate here how the geometric control theory of Basile, Marro and Wonham can be obtained in a Hilbert space context, as the byproduct of the factorization of a spectral density with no zeros on the imaginary axis. We show how controlled invariant subspaces can be obtained as images of orthogonal projections of coinvariant subspaces onto a semiinvariant (markovian) subspace of the Hardy ...
متن کاملLiquidity risk and arbitrage pricing theory
Classical theories of financialmarkets assume an infinitely liquidmarket and that all traders act as price takers. This theory is a good approximation for highly liquid stocks, although even there it does not apply well for large traders or for modelling transaction costs. We extend the classical approach by formulating a new model that takes into account illiquidities. Our approach hypothesize...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2644756