Browsing by Author "Fabozzi, J.F."
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Statistical arbitrage in jump-diffusion models with compound poisson processes Akyildirim, E.; Fabozzi, J.F.; Goncu, A.; Sensoy, Ahmet (Springer Nature, 2021-02-26)We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the ...