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Quantitative Finance Volume 9, 2009 - Issue 5
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Modeling risk in arbitrage strategies using finite mixturesFootnote§

Adam Tashman Department of Statistics and Applied Probability, 5517 South Hall, University of California, Santa Barbara, Santa Barbara, CA 93106-3110, USACorrespondence[email protected]
&
Robert J. Frey Department of Applied Mathematics and Statistics, 1–103 Math Tower, Stony Brook University, Stony Brook, NY 11794-3600, USA
Pages 495-503 | Received 28 Nov 2006, Accepted 29 Jul 2008, Published online: 18 Jun 2009
 
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Acknowledgements

The authors wish to thank Ann Tucker, Stephen Finch, attendees of the Columbia University Mathematics of Finance Practitioner's Conference in Spring 2007, attendees of a UC Santa Barbara CRFMS Seminar in Spring 2008, and an anonymous referee for helpful feedback on this paper.

Notes

§This research was conducted while Adam Tashman was at the Department of Applied Mathematics and Statistics at Stony Brook University.

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