Essays about: "arbitrage theory"

Showing result 21 - 25 of 37 essays containing the words arbitrage theory.

  1. 21. Arbitrage opportunities on the OMXS : How to capitalize on the ex-dividend effect

    University essay from Företagsekonomi

    Author : Niklas Rosenius; Gustav Sjöholm; [2013]
    Keywords : stock price behavior; dividends; ex-dividend effect; dividend irrelevancy; OMXS; cum-dividend day; ex-dividend day; anchoring; efficient market hypothesis; arbitrage; abnormal returns; market anomalies.;

    Abstract : Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. READ MORE

  3. 22. Valuation of Financial Derivatives in Discrete-Time Models

    University essay from Lunds universitet/Matematisk statistik

    Author : Henrik Jönsson; [2013]
    Keywords : Mathematics and Statistics;

    Abstract : The core subject of financial mathematics concerns the issue of pricing financial assets such as complex financial derivatives. The pricing technique is pervaded by the concept of arbitrage: mis-pricing will be spotted and exploited, resulting in a risk free return for any arbitrageur. READ MORE

  4. 23. Efficiency in the Nord Pool Electricity Exchange

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ola Skånberg; [2012]
    Keywords : Stationarity; Efficient market hypothesis; Arbitrage; Business and Economics;

    Abstract : In recent years criticism of the electricity market has been emerging. Some claim that for Sweden, the deregulation of the power market in 1996 (and consequently Sweden’s involvement in Nord Pool) has been a driving factor of rising electricity prices and a non-efficient market for electricity. READ MORE

  5. 24. Pricing Inflation Derivatives : A survey of short rate- and market models

    University essay from KTH/Matematisk statistik

    Author : Damr Tewolde Berhan; [2012]
    Keywords : ;

    Abstract : This thesis presents an overview of strategies for pricing inflation derivatives. The paper is structured as follows. Firstly, the basic definitions and concepts such as nominal-, real- and inflation rates are introduced. READ MORE

  6. 25. Currency Future Efficiency : Do Currency Futures Predict Future Spot Exchange Rates?

    University essay from Handelshögskolan vid Umeå universitet

    Author : Henrik Mattsson; Jonas Vikström; [2011]
    Keywords : Exchange Rates; Currency Futures; Efficiency; Efficient Market Hypothesis; Random Walk; Arbitrage; Interest Rate Parity; augmented Dickey-Fuller test and Phillips-Ouliaris cointegration test;

    Abstract : This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies?   The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. READ MORE