We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in … violations of the no-arbitrage futures pricing conditions due to storage capacity constraints at the WTI futures delivery hub. We … arbitrage limits in pricing commodity futures. We also contribute to the Theory of Storage literature, which has largely ignored …

arbitrage or financial innovation arise from mispricings caused by the presence of confused investors or other distortions, such … market-making is harmful. Rather than arbitrage facilitating the flow of risk to those who can most efficiently bear it, this … harmful arbitrage allocates risk to those who least understand it. The beneficial effects of efficient pricing on real …

In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process … costs, absence of arbitrage opportunities is related to the existence of a consistent price system; It plays the same role … asset is nonnegative. The Robust No Free Lunch condition RNFL means that the absence of asymptotic arbitrage opportunities …

We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by … Gatheral in 2004. The main ingredient is an intermediary characterization of the necessary condition for no arbitrage obtained … straightforward implementation of a least-squares calibration algorithm on the no arbitrage domain, which yields an excellent fit on …

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …

Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …

For much of 2009 there was a static arbitrage in Euro CMS spread options, a consequence of the dislocation between the … arbitrage between the markets. This article considers the construction of the CMS triangle arbitrage, its mathematical limits …

Market frictions such as transactions costs, funding constraints and short selling constraints limit arbitrage, but …, we examine the effect of these frictions on arbitrage efficiency of the two markets. We find evidence of significant … cross-sectional variation in the size and asymmetricity of no-arbitrage bands. To the extent that market frictions affect …

The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently …

I show that an important no-arbitrage consistent but costly collateral rental yield contributes to about two-thirds of …