arbitrage pricing framework, which is ubiquitous and serves as the fundamental theoretical building block in mathematical …. Our method is mathematically and theoretically rigorous, arbitrage-free and meantime enjoys the flexibility offered by the … framework, spot yield curves can be predicted accurately in an arbitrage-free manner …

We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …