MAFS 5030 Quantitative Modeling of Derivatives Securities
نویسنده
چکیده
(a) Give the definition of an arbitrage opportunity. [1] (b) Show that the existence of Q implies non-existence of arbitrage opportunities. [2] (c) Explain why if there are no arbitrage opportunities in the multi-period model, then there will be no arbitrage opportunities in any underlying single period. Use this result to show that non-existence of arbitrage opportunities implies existence of a martingale measure. [4]
منابع مشابه
QSAR modeling of antimicrobial activity with some novel 1,2,4 triazole derivatives, comparison with experimental study
Our study performed upon an extended series of 28 compounds of 1,2,4-triazole derivatives that demonstrate substantial in vitro antimicrobial activities by serial plate dilution method, using quantitative structure-activity relationship (QSAR) methods that imply analysis of correlations and multiple linear regression (MLR); a significant collection of molecular descriptors was used e.g., Edge a...
متن کاملPredictive Modeling of Phenylpiperazine Derivatives for Renin Inhibition.
The renin–angiotensin–aldosterone system is the well established endocrine system having significant role in preserving hemodynamic stability. Renin is secreted from the juxtaglomerular cells of the kidney. Phenylpiperazine derivatives have been reported as human renin inhibitor. To perform predictive QSAR modeling for 27 phenylpiperazine derivatives as renin enzyme inhibitors. The IC50 values ...
متن کاملQuantum-chemical modeling of the stacking mechanism for the 1H-4H proton transfer in pyridine derivatives. A DFT study
The stacking mechanism of the 1H-4H proton transfer in 4-pyridone, 4-pyridinthione and p-aminopyridineare constructed. For quantitative description of this process by means of the quamtumchemicalmethod density functional theory (DFT) the activation energy (
متن کاملCommercial Mortgage Backed Securities (CMBS) and Market Efficiency with respect to Costly Information
Commercial mortgage backed securities (CMBS) are complex asset backed securities trading in markets that do not currently use derivatives pricing technology. This lack of usage is due to the complexity of the modeling exercise, and only the recent and costly availability of historical data. As such, CMBS markets provide a natural environment for the testing of market efficiency with respect to ...
متن کاملQSAR Modeling of COX-2 Inhibitory Activity of Some Dihydropyridine and Hydroquinoline Derivatives Using Multiple Linear Regression (MLR) Method
COX-2 inhibitory activities of some 1,4-dihydropyridine and 5-oxo-1,4,5,6,7,8-hexahydroquinoline derivatives were modeled by quantitative structure–activity relationship (QSAR) using stepwise-multiple linear regression (SW-MLR) method. The built model was robust and predictive with correlation coefficient (R2) of 0.972 and 0.531 for training and test groups, respectively. The quality of the mod...
متن کامل