developed and used for numerical studies. No-arbitrage conditions were also discussed …

We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the … premise that tax scale is convex, we analyze prices that do not exhibit arbitrage opportunities. It turns out that there are … two kinds of arbitrage: unbounded as well as bounded arbitrage. With bounded arbitrage, the gain from forming an arbitrage …

prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices … exist even if arbitrage is present, because it is not scalable at will …

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically …, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999 …-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those …