We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

defaultable bonds and give conditions under which these dynamics are arbitrage-free. These conditions are a drift restriction that …

models satisfying the natural static arbitrage bounds across strikes. We next characterize absence of dynamic arbitrage for …, and hence of arbitrage-free multi-strike market models of option prices. …

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

arbitrage capital employed. Due to the price impact, investors forwent 3.6\% annual return, 48\% higher Sharpe ratio, and …