The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …

This paper derives a sufficient and necessary condition for arbitrage-free pricing, by the mathematical definition of … derivatives inherently possesses the arbitrage-free property. This condition can serve as a quick 'reality check' to help search … for arbitrage-free asset pricing. …

necessarily convergence of the arbitrage pricing intervals in that context. We prove here that we have very good convergence …

theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of …

allocation. And eventually by proposing a strategy to arbitrage core inflation linked derivatives by cross-replicating them with …

the stock market. Fractional Brownian motion is not a semi-martingale and arbitrage opportunities do exist, however. Hu …, they argue that arbitrage does not exist in the fractional market. To unravel this discrepancy, we examine the definition …, arbitrage opportunities do exist in fractional markets. …

perturbation theory of Markovian semigroups, we study the relationship between the pricing semigroup and the forward semigroup, and …