We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic … framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account … of dynamic arbitrage in the market can be characterized in terms of drift restrictions on the model coefficients. Most … provide a class of explicit examples satisfying the no-arbitrage conditions. This allows us to construct arbitrage-free multi …

,Carhart’s four-factor extension of it adding a momentum factor, and a five-factor extension adding an own-volatility factor. We find … that momentum and own-volatility factors are at least as important if not more important than size and value in explaining …

models satisfying the natural static arbitrage bounds across strikes. We next characterize absence of dynamic arbitrage for …, and hence of arbitrage-free multi-strike market models of option prices. …

no-arbitrage condition between renting and buying a house. It states that the period costs are equal to the rents. The …

There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial … markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with … short-lived securities,no short-selling constraints and no transaction costs. We show thatto exploit all existing arbitrage …

We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [2]. By a change of measure …-equivalent measure change which implies the existence of instantaneous arbitrage opportunities in diverse markets. For this technique to …