The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of λ-consistent price systems (λ-CPS), and, for this reason, we aim to provide...

We formulate the notion of "asymptotic free lunch" which is closely related to the condition "free lunch" of Kreps (1981) and allows us to state and prove a fairly general version of the fundamental theorem of asset pricing in the context of a large financial market as introduced by Kabanov and...

We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid num\'eraire. We argue that this feature is not the exception but rather the rule...

<Para ID="Par1">We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for a sequence of financial markets with small proportional transaction costs λ <Subscript> n </Subscript> on market n, in terms of contiguity properties of sequences of equivalent probability measures...</subscript></para>

We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for a sequence of financial markets with small proportional transaction costs λ n on market n, in terms of contiguity properties of sequences of equivalent probability measures...