inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed …

, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing … Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully … Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …