NDLI: Consistency among trading desks

Content Provider	Springer Nature Link
Author	Heath, David Ku, Hyejin
Copyright Year	2006
Abstract	We consider a bank having several trading desks, each of which trades a different class of contingent claims with each desk using a different model. We assume that the models are arbitrage-free. A practical question is whether a bank using several models can be arbitraged. Surprisingly it can happen that in some cases there must be an arbitrage. We discuss conditions under which the bank trades without offering arbitrage.
Ending Page	340
Page Count	10
Starting Page	331
File Format	PDF
ISSN	09492984
e-ISSN	14321122
Journal	Finance and Stochastics
Issue Number	3
Volume Number	10
Language	English
Publisher	Springer-Verlag
Publisher Date	2006-08-03
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Countably additive measure Arbitrage Finance /Banking Probability measures on topological spaces Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory Probability Theory and Stochastic Processes Pricing operator Applications in optimization, convex analysis, mathematical programming, economics Price theory and market structure Quantitative Finance Martingale measure
Content Type	Text
Resource Type	Article
Subject	Finance Statistics and Probability Statistics, Probability and Uncertainty

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Consistency among trading desks