MADAN, DILIP B.; SCHOUTENS, WIM - In: International Journal of Theoretical and Applied … 14 (2011) 05, pp. 587-610
Markets are modeled as passively accepting a convex cone of cash flows that contain the nonnegative cash flows. Different markets are modeled using different cones that reflect the clientele of the market. Conditions are established to exclude the possibility of arbitrage between markets....