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One-period models, which were the subject of Lecture 1, are of limited usefulness in the pricing and hedging of derivative securities. In real-world markets, trading takes place in continuous time; moreover, perfect hedging of many derivative securities requires continuous rebalancing of portfolios, as we shall see. Nevertheless, useful numerical approximations can often be gotten by using disc...

The paper studies the interdependence of the amount of international debt securities, amounts outstanding by country (borrowers) and the GDP growth by country. The author have chosen 34 countries, that represent every region included in the BIS classification, that is developed countries, offshore centers, developing Europe, Latin America, Asia and the Pacific and Africa. It was found that the ...

Recent advances in high-frequency financial trading have made light propagation delays between geographically separated exchanges relevant. Here we show that there exist optimal locations from which to coordinate the statistical arbitrage of pairs of spacelike separated securities, and calculate a representative map of such locations on Earth. Furthermore, trading local securities along chains ...

Today, with interest rates being kept so low, corporations and individuals alike face the task of making the best use of their assets. Securities transactions through online trading over the Internet are now gaining in popularity as a means of asset utilization accessible to everybody. As well as seeing high value in putting transactions online, securities companies are also adopting a systemat...

The business environment is full of uncertainties. Investing in various asset classes may lower the risk of overall portfolio and increase the potential for greater returns. In this paper, we propose a bi-objective mixed asset portfolio selection model involving projects as well as securities. Furthermore, based on fuzzy decision theory, a fuzzy mixed projects and securities portfolio selection...

We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the n...