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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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Robust arbitrage conditions for financial markets
Singh, Derek; Zhang, Shuzong - In: Operations research forum 2 (2021) 3, pp. 1-51
Persistent link: https://www.econbiz.de/10012589911
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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Higher order forward rate agreements and the smoothness of the term structure
Jaschke, Stefan R. - 1999
Persistent link: https://www.econbiz.de/10001377676
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Linear duality, term structure, and valuation
Frauendorfer, Karl - In: Selected papers of the Symposium on Operations Research …, (pp. 13-18). 1998
Persistent link: https://www.econbiz.de/10001323348
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Arbitrage bounds for the term structure of interest rates
Jaschke, Stefan R. - In: Finance and stochastics 2 (1998) 1, pp. 29-40
Persistent link: https://www.econbiz.de/10001230161
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Arbitrage-free market models for option prices : the multi-strike case
Schweizer, Martin; Wissel, Johannes - In: Finance and stochastics 12 (2008) 4, pp. 469-505
Persistent link: https://www.econbiz.de/10003899262
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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 1, pp. 135-154
Persistent link: https://www.econbiz.de/10009423233
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How arbitrage-free is the Nelson-Siegel Model?
Coroneo, Laura (contributor); Nyholm, Ken (contributor);  … - 2008
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 …
Persistent link: https://www.econbiz.de/10003748975
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Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio - In: Journal of economic dynamics & control 30 (2006) 1, pp. 55-79
Persistent link: https://www.econbiz.de/10003251151