price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a … utility maximization program and the equilibrium approach through the market clearing conditions. When there are imperfections …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator … compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator … compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits …

A Linear Pricing Rule is established for the No Strong Arbitrage Principle (NSAP) in a finite state, single period …

Toxic arbitrage opportunities are caused by information arriving in one market leading to short lived price deviations … between markets. This paper shows that the direction of such arbitrage opportunities provides valuable insights into price … unbiased measure of information shares based on the frequency of toxic arbitrage opportunities. This measure has several …

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

. Our analysis rests on a general equilibrium model with multiple assets and restricted investor participation. Strategic …

its relationship with the usual proxies. The model on which the welfare analysis rests is an equilibrium model with …

trading venues. Our analysis rests on a general equilibrium model with segmented markets. Arbitrageurs reap profits by …