portfolio returns. Non-monotonicity can even lead to equilibrium prices permitting simple arbitrage opportunities.In the two … interest parity can generally not be regarded as a no-arbitrage condition and can be considered as an equilibrium condition … only non-generically. The true arbitrage-free correlation between the exchange rate, interest rates, and security prices is …

portfolio restrictions, there is a need to differentiate individual arbitrage opportunities from those at the aggregate level …), this difference in the notion of arbitrage at the individual level and the aggregate level is characterized. Extending the … 2-date result of Hens et al., we show that generically there will be some arbitrage opportunities that remain …

with restricted participation. We then provide a characterization of reduced financial structures in terms of arbitrage …

andSchachermayer’s Mathematics of Arbitrage. The technique is then applied to financial pricingproblems. The right choice of numéraire …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy … return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for …

This paper, after giving a short introduction to hedge fund industry, studies arbitrage strategies. We consider two … makes profit. Arbitrage position can generate losses if the spread widens before converging. Short selling is almost always … done with a collateral requirement. For this reason, arbitrage position can generate losses if the spread widens before …

, significant arbitrage opportunities over the second halfof the last decade. Yet, terminal elevator operators—perhaps the only … demonstrates conditions under which a profit maximizing warehouseman foregoes available arbitrage. We find that making delivery …

expirations of future contracts, identifying, thus, the chance to get profits with arbitrage. The results had shown more that the …, it is detected possibility to get profits with arbitrage in the market of Brazilian exchange. …