equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …

characterize an absence of arbitrage opportunity as the mathematical model is no more convex. An unified approach is to describe a … including non linear trading costs. The natural question is to which extent the results of the classical arbitrage theory are … measure mean? Our contribution is a first attempt to characterise the absence of arbitrage opportunity in non convex financial …

We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …

to arbitrage and it's consequence on the informativeness of prices. Using the existence of an acquirer termination fees …

arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …