markets. Arbitrage opportunities between redundant risky assets arise endogenously in an economy populated by rational …, heterogeneous investors facing restrictions on leverage and short sales. An arbitrageur, indulging in costless, riskless arbitrage … arbitrageur lacks market power, they always take on the largest arbitrage position possible. When the arbitrageur behaves …

existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

modelling the synergy occurring amongst the firm assets whilst pointing out the limits of traditional accounting valuation tools …. Since financial accounting valuation methods are mostly based on the mathematical property of additivity, and consequently … may occult the perspective of regarding the firm as an organized set of assets, we propose an alternative valuation …

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …

This Paper analyses corporate bond valuation and optimal call and default rules when interest rates and firm value are …