scholarly journals Asset Prices and Wealth Dynamics in a Financial Market with Endogenous Liquidation Risk

2017 ◽  
Author(s):  
Pietro Dindo ◽  
Jacopo Staccioli
Keyword(s):  
Financial Market ◽  
Asset Prices

scholarly journals A stochastic model for the financial market with discontinuous prices

1996 ◽  
Vol 9 (3) ◽  
pp. 271-280
Author(s):  
Leda D. Minkova
Keyword(s):  
Integral Equation ◽  
Stochastic Model ◽  
Stochastic Processes ◽  
Financial Market ◽  
Asset Prices ◽  
Stochastic Integral ◽  
Stochastic Integral Equation

This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

Backward Stochastic PDE and Imperfect Hedging

2003 ◽  
Vol 06 (07) ◽  
pp. 663-692 ◽  
Author(s):  
M. Mania ◽  
R. Tevzadze
Keyword(s):  
Financial Market ◽  
Asset Prices ◽  
Random Function ◽  
Value Function ◽  
Market Model ◽  
Stochastic Pde ◽  
Continuous Semimartingale ◽  
Incomplete Financial Market ◽  
Mean Variance ◽  
The Value Function

We consider a problem of minimization of a hedging error, measured by a positive convex random function, in an incomplete financial market model, where the dynamics of asset prices is given by an Rd-valued continuous semimartingale. Under some regularity assumptions we derive a backward stochastic PDE for the value function of the problem and show that the strategy is optimal if and only if the corresponding wealth process satisfies a certain forward-SDE. As an example the case of mean-variance hedging is considered.

FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS

2005 ◽  
Vol 08 (06) ◽  
pp. 693-716 ◽  
Author(s):  
AXEL GRORUD ◽  
MONIQUE PONTIER
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Financial Market ◽  
Asset Prices ◽  
Optimization Problem ◽  
Statistical Tests ◽  
Market Model ◽  
Financial Model ◽  
Additional Information ◽  
The Interest Rate

We develop a financial model with an "influential informed" investor who has an additional information and influences asset prices by means of his strategy. The prices dynamics are supposed to be driven by a Brownian motion, the informed investor's strategies affect the risky asset trends and the interest rate. Our paper could be seen as an extension of Cuoco and Cvitanic's work [4] since, as these authors, we solve the informed influential investor's optimization problem. But our main result is the construction of statistical tests to detect if, observing asset prices and agent's strategies, this influential agent is or not an informed trader.

scholarly journals PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE

2016 ◽  
Vol 19 (01) ◽  
pp. 1650006 ◽  
Author(s):  
GABRIEL FRAHM
Keyword(s):  
Financial Market ◽  
Real World ◽  
Asset Prices ◽  
Fair Value ◽  
Law Of One Price ◽  
Contingent Claim ◽  
Financial Mathematics ◽  
The Real ◽  
Model Independent ◽  
The Given

In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the given information. A further problem is that asset prices are typically expressed in terms of a risk-neutral measure. This makes it difficult to transfer the fundamental results of financial mathematics to econometrics. I show that the aforementioned problems evaporate if the financial market is complete and sensitive. In this case, after an appropriate choice of the numéraire, the discounted price processes turn out to be uniformly integrable martingales under the real-world measure. This leads to a Law of One Price and a simple real-world valuation formula in a model-independent framework where the number of assets as well as the lifetime of the market can be finite or infinite.

scholarly journals On the existence of sure profits via flash strategies

2019 ◽  
Vol 56 (2) ◽  
pp. 384-397 ◽  
Author(s):  
Claudio Fontana ◽  
Markus Pelger ◽  
Eckhard Platen
Keyword(s):  
General Theory ◽  
Transaction Costs ◽  
Financial Market ◽  
High Frequency ◽  
Asset Prices ◽  
General Setting ◽  
Trading Strategies ◽  
Frequency Limit ◽  
Price Process ◽  
High Frequency Limit

AbstractWe introduce and study the notion of sure profits via flash strategies, consisting of a high-frequency limit of buy-and-hold trading strategies. In a fully general setting, without imposing any semimartingale restriction, we prove that there are no sure profits via flash strategies if and only if asset prices do not exhibit predictable jumps. This result relies on the general theory of processes and provides the most general formulation of the well-known fact that, in an arbitrage-free financial market, asset prices (including dividends) should not exhibit jumps of a predictable direction or magnitude at predictable times. We furthermore show that any price process is always right-continuous in the absence of sure profits. Our results are robust under small transaction costs and imply that, under minimal assumptions, price changes occurring at scheduled dates should only be due to unanticipated information releases.

scholarly journals Determining the Financial Performance of Stock Market in India (With Special Reference to Derivatives)

2021 ◽  
Vol 9 (2) ◽  
pp. 31-37
Author(s):  
S Umamaheswari
Keyword(s):  
Stock Market ◽  
Financial Performance ◽  
Special Reference ◽  
Financial Market ◽  
Asset Prices ◽  
Financial Derivatives ◽  
Drastic Change ◽  
Price Risk

The innovative practices always persuade concerned people, whereas ideas and innovation become the hallmark of progress. Even the Stock market is also not exempted from this, whereas financial derivatives have given the drastic change in the growth of the financial market. The major reason behind introducing derivatives is for minimizing or eliminating price risk through hedging. The Derivatives market has shown tremendous growth in recent years and has become multi-trillion dollar market. Marked with the ability to partially and fully transfer the risk by locking in asset prices, derivatives gain popularity among investors.

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