This paper sets forth the foundations for a transactional approach for the performance of arbitrage in foreign exchange … markets. Firstly, we review both the standard model of financial arbitrage and the so-called covered-interest arbitrage … expand on its main tools of analysis, namely differential rates, residual information sets, arbitrage gaps and transaction …

forwardforeign exchange prices from interest parity forward prices. Second, the role oftransaction costs in one-way arbitrage …-based interest parity has not been examined.Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity … implied by one-way arbitrage, does not diminish therole of transaction costs; (ii) the varjances of the estimated deviations …

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …

^d-valued process. A strategy H is called extreme if it represents a maximal arbitrage opportunity. By this we mean that H generates at … zero. We characterize those subsets of F^e, on which no arbitrage opportunities exist. …