In this paper, we consider a family of complete or incomplete Financial models such that the price processes of the Financial assets converge in distribution to those in a limit model. Different authors pointed out that we do not have necessarily convergence of the arbitrage pricing intervals in...

This paper derives a sufficient and necessary condition for arbitrage-free pricing, by the mathematical definition of linear dependency. It states that any pricing function that can be expressed as a linear combination of some of its partial derivatives inherently possesses the arbitrage-free...

In this paper we examine the impact of several local and global risk factors on the stock returns of S&P 500 industries' indices by applying a multifactor arbitrage pricing model. The local macroeconomic factors are industrial production, inflation, changes of expected inflation, term structure,...

This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors...