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Arbitrage

ADR Arbitrage Opportunities for Dummies

DECEMBER 12, 2005 BEATRIZ AMARY OTAVIO OTTONI ADR Arbitrage Opportunities for Dummies I. Introduction Created by JPMorgan in 1927 to facilitate US investments in the UK, the American Depositary Receipt ("ADR") is a US security that represents an ownership interest in another security of a non-US ...

ARBITRAGE PRICING THEORY

ARBITRAGE PRICING THEORY Gur Huberman Zhenyu Wan g † August 15,2005 Abstract Focusing on asset returns governed by a factor structure, the APT is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads toa linear relation between the expected return ...

ARBITRAGE, INCOMPLETE MODELS, AND OTHER PEOPLE'S BRAINS

ARBITRAGE, INCOMPLETE MODELS, AND OTHER PEOPLE'S BRAINS ROBERT NAU FUQUA SCHOOL OF BUSINESS DUKE UNIVERSITY 1. Introduction Over the last 50 years, the theory of rational choice has emerged as the dominant paradigm of quantitative research in the social and economic sciences.

Instruction 8038-T (Rev. April 2011)

Arbitrage Rebate, Yield Reduction and Penalty in Lieu of Arbitrage Rebate Section references are to the Internal 100 percent of the investment earnings

Arbitrage spreads

Arbitrage spreads Arbitrage spreads refer to standard option strategies like vanilla spreads to lock up some arbitrage in case of mispricing of options.

Benchmarks as Limits to Arbitrage: Understanding the Low ...

40 www.cfa pubs .org ©2011 CFA Institute Financial Analysts Journal Volume 67 • Number 1 ©2011 CFA Institute Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly Malcolm Baker, Brendan Bradley, and Jeffrey Wurgler Contrary to basic finance principles, high-beta and ...

ARBITRAGE CALCULATION AND COMPLIANCE

68 Bond year end choices EXAMPLE: A variable issue has expended most of its bond proceeds within two years after the issue date. The yield on investments during that period was slightly less than the arbitrage yield, therefore no arbitrage rebate has been generated.

Arbitrage in the Classroom Using U.S. Treasury STRIPS

Arbitrage in the Classroom Using U.S. Treasury STRIPS C. Steven Cole, University of North Texas Michael Braswell, University of North Texas ABSTRACT U.S. Treasury STRIPS are zero-coupon discount instruments created by stripping eligible U.S. Treasury notes and bonds into their component coupon ...

Statistical Arbitrage in the U.S. Equities Market

Statistical Arbitrage in the U.S. Equities Market Marco Avellaned a †and Jeong-Hyun Lee July 11,2008 Abstract We study model-driven statistical arbitrage strategies in U.S. equities.

Volatility Arbitrage: The non-correlated alternative

From delta to gamma Fimat's James Skeggs explains the terms, strategies and positions employed in volatility arbitrage - and how it can help diversify your portfolio 18 Option pay-offs Fimat explains the pay-off profiles of the various positions volatility arbitrage fund managers can use, and ...