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

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 …

, 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 …

start from two simple, economically motivated axioms, namely absence of arbitrage (in the sense of NUPBR) and absence of … relative arbitrage among all buy-and-hold strategies (called static efficiency). A valuation process for a payoff is then … valuing by absence of arbitrage alone. We show that this always yields put-call parity, although put and call values …

concept of no asymptotic arbitrage (of the first kind) which is invariant under discounting. We give two dual …,∞) can be viewed as a large financial market and how no asymptotic arbitrage, both classic and in our new sense, then relates … to no-arbitrage properties directly on [0,∞) …

respectively by CBOE's VIX and their newly-launched swap rate volatility index -- SRVX -- exhibit significantly distinct behaviors …