of arbitrage and credit limits within such a model. We show that the standard assumptions of a positive state prices and … potentially useful for modeling actual financial markets. These models have been dismissed in the past as allowing arbitrage, but …

fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that … illustrating and clarifying several points on asset price bubbles and the economics of arbitrage. …

paper explains that pricing by classical no-arbitrage arguments is, in general, not unique and may lead to overpricing. In …

The paper developes a general arbitrage free model for the term structure of interest rates. The principal model is … support is derived for the spot rate return. The model permits the arbitrage free valuation of bond options and interest rate …

, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …

covered include: Bond markets, interest rates, arbitrage, martingale measures, completeness, short rate models, affine term …, minimization of arbitrage information. …

different interest rates for borrowing and lending. In the unconstrained case, the classical theory provides a single arbitrage …_{\rm up}]$ of arbitrage-free prices, with endpoints characterized as $h_{\rm low} = \inf_{\nu\in{\cal D}} u_\nu, h_{\rm up …} = \sup_{\nu\in{\cal D}} u_\nu$. Here $u_\nu$ is the analogue of $u_0$, the arbitrage-free price with unconstrained portfolios …