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Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
Exponential Levy processes short-time asymptotics long-time asymp-totics implied volatility Lewis-Lipton formula.
2012/9/14
Exponential Levy processes can be used to model the evolution of various nancial variables such as FX rates, stock prices, etc. Considerable e orts have been devoted to pricing derivatives written o...
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
Maximizing Utility Consumption Subject a Constraint Lifetime Ruin
2012/9/14
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which ...
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Effective Trade Execution
Order book price impact execution strategy high frequency trading.
2012/9/14
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described ...
Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling
Agent based simulation Computer modeling, Complex systems Financial analysis Stock market Stock price Volume weighted average price Stock price index.
2012/9/14
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the sc...
A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets
No-Arbitrage Model Financial Markets Brownian Sheets
2012/9/14
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at th...
Hedging of game options in discrete markets with transaction costs
game options discrete markets transaction costs
2012/9/14
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
Statistical foundation of the pairwise interaction model of the stock market
Statistical foundation interaction model stock market
2012/9/14
Financial markets are a classical example of complex systems as they are compound by many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the ro...
Import and export of horticultural products in Portugal
Horticultural products international trade data analysis.
2012/9/14
With this work it is analyzed the import and export of horticultural products between Portugal and the other world countries. It is used data about Portuguese international tra...
International trade of fruits between Portugal and the world
Fruits international trade data analysis.
2012/9/14
For Portugal there are few or none works about the international trade of fruits between Portugal and the other countries. In this work it aims to analyze the more recent da...
International trade of flowers. Tendencies and policies
Flowers international trade convergence volatility.
2012/9/14
There are few papers about the international trade of flowers, so it is believed that this paper, with this topic, could be an important contribution to the international scientific community. It is i...
Valuation and parity formulas for exchange options
Valuation and parity formulas exchange options
2012/9/14
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and bubbles in asset pri...
Designing the new architecture of international financial system in era of great changes by globalization
the new architecture international financial system globalization
2012/9/14
We present a broad agenda for m eaningful banking regulation reform aiming the creation of evolutive competitive environment to maximize the effectiveness of internati onal financial system through t...
Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
market timing empirical alpha process unobserved portfolio strategies martingale system behavioural finance high frequency trading Brownian bridge Jensen’salpha portable alpha
2012/9/14
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high fre-quency trading, by embedding a robust trading algorithm that describe portfolio manager ...
The numeraire property and long-term growth optimality for drawdown-constrained investments
numeraire property long-term growth optimality drawdown-constrained investments
2012/9/14
We consider the portfolio choice problem for an investor interested in long-run growth optimality while facing drawdown constraints in a general continuous semimartingale model. The paper introduces t...