CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”

2018 ◽  
Vol 21 (04) ◽  
pp. 1892001 ◽  
Author(s):  
GABRIEL FRAHM
Keyword(s):  
Banach Space ◽  
Asset Pricing ◽  
Financial Markets ◽  
Real World ◽  
Fundamental Theorem ◽  
Contingent Claims ◽  
Henri Poincaré ◽  
The Real ◽  
The Third ◽  
Price Process

In order to prove the third fundamental theorem of asset pricing for financial markets with infinite lifetime [G. Frahm (2016) Pricing and valuation under the real-world measure, International Journal of Theoretical and Applied Finance 19, 1650006], we shall assume that the discounted price process is locally bounded. Otherwise, some principal results developed by [F. Delbaen & W. Schachermayer (1997) The Banach space of workable contingent claims in arbitrage theory, Annales de l’Institut Henri Poincaré 1, 114–144] cannot be applied.

Matchmakers and Markets

2020 ◽  
Author(s):  
Yi-Cheng Zhang
Keyword(s):  
Financial Markets ◽  
Policy Maker ◽  
Real World ◽  
World Economy ◽  
Market Theory ◽  
Wall Street ◽  
The Real ◽  
Information Intermediaries ◽  
Consumer Markets ◽  
High Street

In attempting to understand the bewildering complexity of consumer markets, financial markets, and beyond, traditional textbooks and theories will not help much. This book presents a new market theory in which information plays the most important role. Markets are portrayed with three categories of actor: consumers, businesses, and information intermediaries. The reader can determine his own role, and with analysis and examples from the real-world economy, new questions can be raised and individual conclusions drawn. The aim is to stimulate the reader’s own thinking, either as a consumer on the high street, an investor on Wall Street, a policy maker in a government armchair, or an entrepreneur dreaming of the next big opportunity. This book should also generate and inspire academic debates, as the claims and conclusions are often at odds with mainstream theory.

scholarly journals An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

2017 ◽  
Vol 2017 ◽  
pp. 1-11
Author(s):  
Hanlei Hu ◽  
Zheng Yin ◽  
Weipeng Yuan
Keyword(s):  
Brownian Motion ◽  
Financial Markets ◽  
Stock Price ◽  
Contingent Claims ◽  
Price Dynamics ◽  
Complex Situation ◽  
No Arbitrage ◽  
Price Process ◽  
Arbitrage Opportunities

In financial markets with volatility uncertainty, we assume that their risks are caused by uncertain volatilities and their assets are effectively allocated in the risk-free asset and a risky stock, whose price process is supposed to follow a geometric G-Brownian motion rather than a classical Brownian motion. The concept of arbitrage is used to deal with this complex situation and we consider stock price dynamics with no-arbitrage opportunities. For general European contingent claims, we deduce the interval of no-arbitrage price and the clear results are derived in the Markovian case.

The Third Culture

2017 ◽  
pp. 318-330 ◽  
Author(s):  
Hsiao-Cheng (Sandrine) Han
Keyword(s):  
Visual Culture ◽  
Virtual Worlds ◽  
Real World ◽  
Virtual World ◽  
Research Question ◽  
Third Culture ◽  
The Real ◽  
Main Research ◽  
The Third ◽  
Culture Education

The purpose of this research is to improve the understanding of how users of online virtual worlds learn and/or relearn ‘culture' through the use of visual components. The goal of this research is to understand if culturally and historically authentic imagery is necessary for users to understand the virtual world; how virtual world residents form and reform their virtual culture; and whether the visual culture in the virtual world is imported from the real world, colonized by any dominate culture, or assimilated into a new culture. The main research question is: Is the authenticity of cultural imagery important to virtual world residents? This research investigates whether visual culture awareness can help students develop a better understanding of visual culture in the real world, and whether this awareness can help educators construct better curricula and pedagogy for visual culture education.

scholarly journals Teens and Virtual Goods: The Fun, Useful and Affordable Luxuries that are Driving the Virtual Economy

1970 ◽  
Vol 2 (4) ◽  
Author(s):  
Maura Welch
Keyword(s):  
Virtual Worlds ◽  
Online Communities ◽  
Real World ◽  
Personal Networks ◽  
The Real ◽  
The Third ◽  
Virtual Economy

Virtual worlds are quickly becoming a popular way for teens–especially younger teens 13-16 years of age–to spend time connecting with existing friends while searching for new contacts. According to KZero, in the third quarter of last year alone, 92 million new, unique users joined virtual worlds. However, as virtual worlds grow, teens are looking for more opportunities beyond just building their personal networks. Enter virtual goods–items users can earn or purchase to express themselves creatively or to gain status among their peers in a community. Those who have not spent time in online communities and worlds find it difficult to understand the motivation for purchasing virtual goods. But buying them or completing tasks to earn them is fun and challenging, in the exact same way shopping or playing games in the real world is fun and challenging. For example, some virtual goods provide an immediate advantage in games or contests, some help express your personal styles and interests, and some can be sent as gifts to friends. Sometimes people buy virtual goods because they’re impatient or competitive and don’t want to wait the number of days it would take to earn them for free. But fundamentally, virtual goods are entertainment–they make it fun to interact with friends and express personal styles.

10. Major Issues in IPE: Economic versus Political Power, Development, Globalization, How to Study the Real World

2021 ◽  
pp. 275-308
Author(s):  
Georg Sørensen ◽  
Jørgen Møller ◽  
Robert Jackson
Keyword(s):  
Political Economy ◽  
Developing Countries ◽  
Real World ◽  
International Political Economy ◽  
The Other ◽  
The Real ◽  
The Third ◽  
Hard Science ◽  
British School ◽  
The Relationship

This chapter examines four major issues in International Political Economy (IPE). The first concerns power and the relationship between politics and economics, and more specifically whether politics is in charge of economics or whether it is the other way around. The second issue deals with development and underdevelopment in developing countries. The third is about the nature and extent of economic globalization, and currently takes places in a context of increasing inequality between and inside countries. The fourth and final issue concerns how to study the real world from an IPE perspective and it pits the hard science American School against the more qualitative and normative British School.

scholarly journals ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE

2008 ◽  
Vol 11 (08) ◽  
pp. 841-867 ◽  
Author(s):  
SHANE M. MILLER ◽  
ECKHARD PLATEN
Keyword(s):  
Real World ◽  
Degrees Of Freedom ◽  
Contingent Claims ◽  
Market Model ◽  
Chi Square ◽  
Growth Optimal Portfolio ◽  
The Real ◽  
Efficient Calculation ◽  
Squared Bessel Process ◽  
Equity Index

This article derives a series of analytic formulae for various contingent claims under the real-world probability measure using the stylised minimal market model (SMMM). This model provides realistic dynamics for the growth optimal portfolio (GOP) as a well-diversified equity index. It captures both leptokurtic returns with correct tail properties and the leverage effect. Under the SMMM, the discounted GOP takes the form of a time-transformed squared Bessel process of dimension four. From this property, one finds that the SMMM possesses a special and interesting relationship to non-central chi-square random variables with zero degrees of freedom. The analytic formulae derived under the SMMM include options on the GOP, options on exchange prices and options on zero-coupon bonds. For options on zero-coupon bonds, analytic prices facilitate efficient calculation of interest rate caps and floors.

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