basic challenges which are faced by a practical user of LMM. Incorrect implementation can lead to arbitrage in the model and … render generated prices invalid. In this paper, we present a rate interpolation scheme which not only is arbitrage-free, but …

absence of arbitrage, known as the drift condition. In contrast to the traditional model, the drift condition consists of two …

lead to arbitrage opportunities on the VIX market. Arbitrage is hard to exploit as the potential replication strategy … potentially exploit arbitrage opportunities using VIX futures) using most recently developed machine learning models to intraday …

ergodicity of the underlying variance process and the concept of asymptotic arbitrage proposed in Kabanov-Kramkov and in Follmer-Schachermayer …