exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …

the issuing firm's beta risk significantly, which is consistent with capital structure theory. These new findings on the …

We analyze the relationship between unemployment rate changes and government bond yields during and after the most … unemployment rate changes. The impact of an idiosyncratic rise in unemployment on bond yields turns out to be positive for European …, bond yields do not have an impact on unemployment. Our findings have interesting implications for the way shocks are …

that CIP violations imply arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the … absence of observable riskless discount rates, we extract them empirically using a simple no-arbitrage framework. They deliver …-currency basis swap rates well. The no-arbitrage benchmarks account for about two thirds of the alleged CIP deviations, while the …

interest rate parity) for a wide range of currencies with respect to the dollar since the global financial crisis. Theory of … the foreign exchange (FX) swap market predicts that shortage of global arbitrage capital (GAC), by making the FX swap …

asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the … volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an …