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Market Models (market + models)
Selected AbstractsSOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELSMATHEMATICAL FINANCE, Issue 3 2004Marco Frittelli We introduce the notion of a market-free-lunch that depends on the preferences of all agents participating in the market. In semimartingale models of securities markets, we characterize no arbitrage (NA) and no-free-lunch-with-vanishing-risk (NFLVR) in terms of the market-free-lunch and show that the difference between NA and NFLVR consists in the selection of the class of monotone, respectively monotone and continuous, utility functions that determines the absence of the market-free-lunch. We also provide a direct proof of the equivalence between the absence of a market-free-lunch, with respect to monotone concave preferences, and the existence of an equivalent (local/sigma) martingale measure. [source] ,The Perfect Business': Human Trafficking and Lao,Thai Cross-Border MigrationDEVELOPMENT AND CHANGE, Issue 5 2010Sverre Molland ABSTRACT Over the past few years some governments and development organizations have increasingly articulated cross-border mobility as ,trafficking in persons'. The notion of a,market,where traffickers prey on the ,supply' of migrants that flows across international borders to meet the ,demand' for labour has become a central trope among anti-trafficking development organizations. This article problematizes such,economism,by drawing attention to the oscillating cross-border migration of Lao sex workers within a border zone between Laos and Thailand. It illuminates the incongruity between the recruitment of women into the sex industry along the Lao,Thai border and the market models that are employed by the anti-trafficking sector. It discusses the ways in which these cross-border markets are conceived in a context where aid programming is taking on an increasingly important role in the politics of borders. The author concludes that allusions to ideal forms of knowledge (in the guise of classic economic theory) and an emphasis on borders become necessary for anti-trafficking programmes in order to make their object of intervention legible as well as providing post-hoc rationalizations for their continuing operation. [source] Some Empirical Evidence to Support the Relationship Between Audit Reports and Stock Prices , The French CaseINTERNATIONAL JOURNAL OF AUDITING, Issue 3 2000Bahram Soltani Acting as an independent intermediary, the auditor facilitates market transactions by providing an ,opinion' on financial statements which should help to reduce the information asymmetry between the company and its potential investors. Whether audit qualifications have informational value to investors is a question that needs further investigation, as previous empirical studies on this issue yield mixed results. Moreover, a majority of the research papers in this area have been conducted in Anglo-Saxon countries, in contrast to continental European countries where very little attention has been paid to the auditors' role in stock markets. The present study is based on a large sample of qualified opinions (543 for the period 1986,1995), using different expected event dates and market models. The results of the study demonstrate the significant negative abnormal returns around the announcement dates of audit opinions. The empirical part of this study was carried out in the French market which has some significant differences from the UK and the USA markets. The author believes that the differences, in the area of reporting, level of disclosure, and accounting and auditing practices, can play an important role in the research field of event studies. [source] BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATESMATHEMATICAL FINANCE, Issue 3 2008Farshid Jamshidian Based on a certain notion of "prolific process," we find an explicit expression for the bivariate (topological) support of the solution to a particular class of 2 × 2 stochastic differential equations that includes those of the three-period "lognormal" Libor and swap market models. This yields that in the lognormal swap market model (SMM), the support of the 1 × 1 forward Libor L*t equals [l*t, ,) for some semi-explicit ,1 ,l*t, 0, sharpening a result of Davis and Mataix-Pastor (2007) that forward Libor rates (eventually) become negative with positive probability in the lognormal SMM. We classify the instances l*t < 0, and explicitly calculate the threshold time at or before which L*t remains positive a.s. [source] TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTSMATHEMATICAL FINANCE, Issue 1 2008Martin Schweizer This paper studies modeling and existence issues for market models of stochastic implied volatility in a continuous-time framework with one stock, one bank account, and a family of European options for all maturities with a fixed payoff function h. We first characterize absence of arbitrage in terms of drift conditions for the forward implied volatilities corresponding to a general convex h. For the resulting infinite system of SDEs for the stock and all the forward implied volatilities, we then study the question of solvability and provide sufficient conditions for existence and uniqueness of a solution. We do this for two examples of h, namely, calls with a fixed strike and a fixed power of the terminal stock price, and we give explicit examples of volatility coefficients satisfying the required assumptions. [source] The Term Structure of Simple Forward Rates with Jump RiskMATHEMATICAL FINANCE, Issue 3 2003Paul Glasserman This paper characterizes the arbitrage-free dynamics of interest rates, in the presence of both jumps and diffusion, when the term structure is modeled through simple forward rates (i.e., through discretely compounded forward rates evolving continuously in time) or forward swap rates. Whereas instantaneous continuously compounded rates form the basis of most traditional interest rate models, simply compounded rates and their parameters are more directly observable in practice and are the basis of recent research on "market models." We consider very general types of jump processes, modeled through marked point processes, allowing randomness in jump sizes and dependence between jump sizes, jump times, and interest rates. We make explicit how jump and diffusion risk premia enter into the dynamics of simple forward rates. We also formulate reasonably tractable subclasses of models and provide pricing formulas for some derivative securities, including interest rate caps and options on swaps. Through these formulas, we illustrate the effect of jumps on implied volatilities in interest rate derivatives. [source] The Dilemma of the Unsatisfied Customer in a Market Model of Public AdministrationPUBLIC ADMINISTRATION REVIEW, Issue 1 2005Janet M. Kelly The relationship between administrative service performance and citizen satisfaction has been assumed, but not demonstrated, in the application of market models to public service delivery. Although the citizen satisfaction literature cautions that the link between objective and subjective measures of service quality is tenuous at best, public-sector professional organizations define a managerial focus on objective measures of service performance as accountability to citizens for outcomes. What if we're wrong? [source] WINDOW DRESSING IN BOND MUTUAL FUNDSTHE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2006Matthew R. Morey Abstract We examine portfolio credit quality holding and daily return patterns in a large sample of bond mutual funds and document evidence of window dressing. Using portfolio credit quality holdings data, we find that bond funds on average hold significantly more government bonds during disclosure than nondisclosure, presumably to present a safer portfolio to shareholders. Multiple-index market models estimated with daily returns data corroborate these findings. We detect differences in factor loadings on days surrounding disclosure dates that indicate systematic tilting of the portfolio toward higher quality instruments. [source] | ||||||||||