Publication:
Nonconvex optimization for pricing and hedging in imperfect markets

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorMayoral, Silvia
dc.date.accessioned2012-01-20T18:51:40Z
dc.date.available2012-01-20T18:51:40Z
dc.date.issued2006-07
dc.description.abstractThe paper deals with imperfect financial markets and provides new methods to overcome many inefficiencies caused by frictions. Transaction costs are quite general and far from linear or convexo The concepts of pseudoarbitrage and efficiency are introduced and deeply analyzed by means of both scalar and vector optimization problems. Their optimality conditions and solutions yield strategies to invest and hedging portfolios, as well as bid-ask spread improvements. They also point out the role of coalitions when dealing with these markets. Several sensitivity results will permit us to show that a significant transaction costs reduction is very often feasible in practice, as well as to measure its effect on the general efficiency of the market. AII these findings may be especially important for many emerging and still illiquid spot or derivative markets (electricity markets, com odity markets, markets related to weather, infiation-linked or insurance-linked derivatives, etc.).
dc.description.sponsorshipPartially funded by "Comunidad Autónoma de Madrid" and Spanish Ministry of Science and Education (ref: BEC2003-09067 -C04-03).
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationComputers & Mathematics with Applications, 2006, v. 52, nº 1-2, pp. 121-136
dc.identifier.doi10.1016/j.camwa.2006.08.009
dc.identifier.issn0898-1221
dc.identifier.publicationfirstpage121
dc.identifier.publicationissue1-2
dc.identifier.publicationlastpage136
dc.identifier.publicationtitleComputers & Mathematics with Applications
dc.identifier.publicationvolume52
dc.identifier.urihttps://hdl.handle.net/10016/13024
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.camwa.2006.08.009
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherGlobal optimization
dc.subject.otherPseudoarbitrage
dc.subject.otherSpread reduction
dc.subject.otherBalance point
dc.titleNonconvex optimization for pricing and hedging in imperfect markets
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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