In reality, markets are incomplete, meaning that some payoffs cannot be replicated by trading in marketed securities. The classic no-arbitrage theory of valuation in a complete market, based on the unique price of a self-financing replicating portfolio, is not adequate for nonreplicable payoffs in incomplete markets. We focus on pricing over-the-counter derivative securities, surveying many pro...

In this paper, we carry out the numerical study of a fuzzy portfolio selection model where the objective is to minimize the downside risk and the rates of returns on securities are approximated by means of LR-fuzzy numbers of trapezoidal form. Data from 96 securities over 195 month are used to compare the selected portfolios with a simple utility function and with the outof-sample data as well ...

Monte Carlo simulation is a popular method for pricing financial options and other derivative securities because of the availability of powerful workstations and recent advances in applying the tool. The existence of easy-to-use software makes simulation accessible to many users who would otherwise avoid programming the algorithms necessary to value derivative securities. This paper presents ex...

This paper provides a short introduction into the mathematical foundations of the theory of valuing derivative securities. We discuss the mathematical setting of option price theory and derive the relationship between no-arbitrage and mar-tingales. We provide examples how this theory can be applied to equity and foreign-exchange derivatives. We also explain how the theory can be applied to inte...

The Securities and Exchange Commission (‘‘Commission’’) is proposing for comment new rules under the Securities Exchange Act of 1934 (‘‘Exchange Act’’) that are intended to implement provisions of Title VII (‘‘Title VII’’) of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (‘‘Dodd-Frank Act’’) relating to external business conduct standards for security-based swap dealers ...

This paper studies asset pricing in arbitrage-free financial markets in general state space (both for frictionless market and for market with transaction cost). The mathematical formulation is based on a locally convex topological space for weakly arbitrage-free securities’ structure and a separable Banach space for strictly arbitragefree securities’ structure. We establish, for these two types...

The Securities and Exchange Commission (‘‘Commission’’) is proposing for comment new rules under the Securities Exchange Act of 1934 (‘‘Exchange Act’’) that are intended to implement provisions of Title VII (‘‘Title VII’’) of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (‘‘Dodd-Frank Act’’) relating to external business conduct standards for security-based swap dealers ...

The Moving Average (MA) crossover technique is one of the popular technical analysis tools used by investors in financial markets. The technique depends on identifying the lengths of short and long time periods, type of MA model and type of price data on which the analysis is to be based. Unfortunately, most users base their selection of these parameters on recommendations which could be not su...

Issue: Vol 168, Issue 4327 [2] Related articles: Messy liquidation [7] Is that clear? [8] Do we have a group? [9] PETE MILLER asks where we now stand with the complex transactions in securities legislation KEY POINTS The basic framework of ITA 2007, s 684. Activities that fall within the definition of a 'transaction in securities'. The receipt of 'relevant con...

Under state and Federal law, commercial banks are required to hold government securities as a reserve against government deposits. While these pledging requirements are potentially important links between the asset and liability sides of a bank's portfolio, they have largely been ignored in the professional literature. This omission cannot be justified even if pledging requirements have no effe...