Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon …

This paper produces evidence in support of the existence of common risk factors in the US andUK interest rate swap … swap spreads are best described by aregime-switching model. We identify the existence of two distinct regimes in US and UK … on the US and UK swapspreads. Shocks to UK oriented risk factors have a strong effect on the US swap markets duringthe …

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 …

, 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 …