, and recovery rate. This complexity requires a proper no-arbitrage approach so that the two types of debt are priced …

Empirical modeling of the yield curve is often inconsistent with absence of arbitrage. In fact, many parsimonious … models, like the popular Nelson-Siegel model, are inconsistent with absence of arbitrage. In other cases, arbitrage … introduces an arbitrage smoothing device to control arbitrage errors that arise in fitting a sequence of yield curves. The device …

arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …

The no arbitrage conditions are derived in the explicit form for the market, where the zero coupons bonds of various … assets is extended on case of any number of assets and inflation. The no arbitrage condition for multi-factor models of a … obtained at first, and then for want of it fulfillment the no arbitrage condition is derived …