is an arbitrage cap on its premium resulting from new issues. This censors the distribution of the premium and causes its …

This article develops an intertemporal, discrete-time, competitive equilibrium version of the arbitrage pricing theory …

. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of …

This paper studies the implications of arbitrage in a large asset market under conditions of (Knightian) uncertainty ….First, I adapt the notion of arbitrage to a market in which the assets' returns are affected by uncertainty across probability … sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …