Hazard function model and no arbitrage

Credit Risk ◽  
2016 ◽  
pp. 39-70
Author(s):  
Marek Capinski ◽  
Tomasz Zastawniak
Keyword(s):  
Hazard Function ◽  
Function Model ◽  
No Arbitrage

scholarly journals ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE')

2001 ◽  
Vol 04 (03) ◽  
pp. 545-565 ◽  
Author(s):  
KARL STROBL
Keyword(s):  
Stochastic Volatility ◽  
Free Market ◽  
General Context ◽  
Function Model ◽  
Local Volatility ◽  
No Arbitrage ◽  
Market Incompleteness ◽  
Arbitrage Opportunities ◽  
Volatility Function ◽  
The Impact

We show that the frequent claim that the implied tree prices exotics consistently with an arbitrage-free market is untrue if the local volatilities are stochastic. This is a consequence of the market incompleteness under stochastic volatility. We also show that the problem cannot be mitigated by conveniently defining some 'weakly stochastic' local volatility, as this would violate the no-arbitrage condition. In the process of constructing the proof, we analyse — in the most general context — the impact of stochastic variables on the P&L of a hedged portfolio. We find that any stochastic tradeable either has quadratic variation — and therefore a Γ-like P&L on instruments with non-linear exposure to that asset — or it introduces arbitrage opportunities.

Learning Theory From a Hazard Function Perspective

2007 ◽  
Author(s):  
Lara N. Sloboda ◽  
Richard A. Chechile ◽  
Raymond S. Nickerson
Keyword(s):  
Learning Theory ◽  
Hazard Function

Components of executive function model regional prefrontal volumes.

2019 ◽  
Vol 33 (7) ◽  
pp. 1007-1019 ◽  
Author(s):  
Ryan A. Mace ◽  
Abigail B. Waters ◽  
Kayle S. Sawyer ◽  
Taylor Turrisi ◽  
David A. Gansler
Keyword(s):  
Executive Function ◽  
Function Model
Sign in / Sign up

Export Citation Format

Share Document