return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through … endogenously determined trading constraints, arbitrage possibilities may persist; in an example, an individual holds an arbitrage …

present a notion of exact arbitrage, strictly weaker than the more conventional notion of asymptotic arbitrage, and necessary …

an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios … of explicit portfolio weights. Such an analysis has not been furnished before in the context of the asymptotic arbitrage …

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging … markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central … and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the impact of swap …

has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their … counterparts in smaller economies. We explore whether such swap lines can reduce the need for reserve accumulation. The evidence … suggests that there is only a limited scope for swaps to substitute for reserves. The selectivity of the swap lines indicates …

admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by …

, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …