Can I read Trading Strategies in Arbitrage Markets on EtoBox?

Trading Strategies in Arbitrage Markets by Lorena Zina Te is a document available to read on EtoBox.

What is Trading Strategies in Arbitrage Markets about?

This doctoral thesis analyzes optimal trading strategies in financial markets that allow for arbitrage opportunities. The first part derives explicit formulas for optimal strategies to replicate a given payoff in continuous-time Markov models, requiring only the existence of a square-integrable market price of risk rather than an equivalent martingale measure. A new measure is constructed under which stock price dynamics simplify. The second part considers general Itô processes without the Markov property,

Author

Lorena Zina Te

Language

EN