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A no-arbitrage perspective on global arbitrage opportunities
Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2020
Persistent link: https://www.econbiz.de/10012225663
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Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh; Huang, Li-Jhang - In: Review of derivatives research 22 (2019) 2, pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
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Chapter 10 Arbitrage, state prices and portfolio theory
Dybvig, Philip H.; Ross, Stephen A. - 2003
equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …
Persistent link: https://www.econbiz.de/10014023861
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Fragility of arbitrage and bubbles in local martingale diffusion models
Guasoni, Paolo; Rásonyi, Miklós - In: Finance and stochastics 19 (2015) 2, pp. 215-231
Persistent link: https://www.econbiz.de/10011417713
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Turning alphas into betas : arbitrage and endogenous risk
Cho, Thummim - In: Journal of financial economics 137 (2020) 2, pp. 550-570
Persistent link: https://www.econbiz.de/10012652836
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The implied arbitrage mechanism in financial markets
Shiyi, Chen; Chng, Michael T.; Liu, Qingfu - In: Journal of econometrics 222 (2021) 1,2, pp. 468-483
Persistent link: https://www.econbiz.de/10012619708
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No arbitrage in continuous financial markets
Criens, David - In: Mathematics and financial economics 14 (2020) 3, pp. 461-506
Persistent link: https://www.econbiz.de/10012240304
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Systematic limited arbitrage and the cross-section of stock returns : evidence from exchange traded funds
DeLisle, R. Jared; McTier, Brian C.; Smedema, Adam R. - In: Journal of banking & finance 70 (2016), pp. 118-136
Persistent link: https://www.econbiz.de/10011635135
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Arbitrage Theory : Introductory Lectures on Arbitrage-Based Financial Asset Pricing
Wilhelm, Jochen E. M. - 1985
-Version with Non-Marketable Income -- 1.6. The Segmented Markets Model -- 1.7. Synopsis of the Main Results -- The Role Arbitrage … Played in the Described Asset Pricing Theories -- 2. Taxonomy of Arbitrage in Financial Markets -- 3. Modelling and First … Consequences of Arbitrage and No-Arbitrage Conditions -- 3.1. Notational Conventions; Arbitration and Spreads -- 3.2. Arbitration …
Persistent link: https://www.econbiz.de/10013518825
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The economics of financial markets
Bailey, Roy E. - 2005
asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the …
Persistent link: https://www.econbiz.de/10011479686