class of market frictions. It is said to be viable as a model of economic equilibrium if there exist price-taking maximizing … the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed … the original equilibrium does not collapse when a new market opens, regardless of preferences and endowments. If the …

class of market frictions. It is said to be viable as a model of economic equilibrium if there exist price-taking maximizing … the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed … the original equilibrium does not collapse when a new market opens, regardless of preferences and endowments. If the …

markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently …, compatible with some equilibrium) if and only if it is, when appropriately renormalized, a martingale for some equivalent … probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their …

arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the … Hong Kong real estate market is not efficient and there are expected arbitrage opportunities and anomalies in the Hong Kong …

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …

The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that … so, extolling the virtues of equilibrium theory; then we present a critique and describe why this approach is inherently …’t be a question of dogma, but should be resolved empirically. There are situations where equilibrium models provide useful …

This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a … clearing house (bank) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that … is a direct generalization of the standard general equilibrium model with financial markets. Borrowers may default in …