significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …

ffine property, we compute the nominal and inflation-indexed bond prices explicitly. We derive no-arbitrage drift conditions …

arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … introduce a new way of defining “absence of arbitrage”. It rests on the new notion of a strategy being strongly share maximal … absence-of-arbitrage concepts do not change when we look at discounted or undiscounted prices, and they can be used in open …

We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …

, i.e. no single stock can dominate the entire market, and we show that beta-arbitrage strategies mechanically out …, individual stocks, and stock portfolios. Finally, we show how to construct optimal beta- arbitrage strategies that maximize the …

We analyse questions of arbitrage in fnancial 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 …