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We describe the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a term structure mod...
华中科技大学投资学课件Chapter10 Arbitrage Pricing Theory。
A Theory of Arbitrage Capital     Arbitrage Capital  Theory       2014/3/18
We would like to thank Paolo Fulghieri (editor), Douglas Gale, an anonymous referee, and the participants of the FIRS Conference in Florence for helpful comments. All errors are our own. The views e...
A Theory of Arbitrage Capital     Theory  Arbitrage Capital       2014/3/18
Fire sales that occur during crises beg the question of why su¢ cient outside capital does not move in quickly to take advantage of Öre sales, or in other words, why outside capital is so ìslow-m...
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at th...
The goal of this paper is to prove a result conjectured in F¨ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that Sis a continuous semimartingale and satisfies a large dev...
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices ...
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depe...
This paper investigates arbitrage chains involving d currencies and d foreign exchange trader-arbitrageurs. The commonly recognized belief in economics and finance is that arbitrage has the effect of ...
We are interested in computation of arbitrage condition in financial market with friction. We consider a deterministic model with a finite number of financial assets and a finite number of possible st...
This article presents information about recent changes in credit card contracts and discusses the availability of arbitrage profits on introductory balance transfer offers. The article also reviews li...
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory sp...
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable asse...

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