Corporation (HSBC) did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One … possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal restrictions on position size allowed …

In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process … costs, absence of arbitrage opportunities is related to the existence of a consistent price system; It plays the same role … asset is nonnegative. The Robust No Free Lunch condition RNFL means that the absence of asymptotic arbitrage opportunities …

individual limits of arbitrage rather than use their combined resources to capture every available arbitrage opportunity. Such … deliberate limits to arbitrage arise because the communication of an arbitrage position reveals the idea underlying it. The … absence of property rights on arbitrage ideas implies that this creates future competition. We let arbitrage opportunities …

Empirical modeling of the yield curve is often inconsistent with absence of arbitrage. In fact, many parsimonious … models, like the popular Nelson-Siegel model, are inconsistent with absence of arbitrage. In other cases, arbitrage … introduces an arbitrage smoothing device to control arbitrage errors that arise in fitting a sequence of yield curves. The device …

The no arbitrage conditions are derived in the explicit form for the market, where the zero coupons bonds of various … assets is extended on case of any number of assets and inflation. The no arbitrage condition for multi-factor models of a … obtained at first, and then for want of it fulfillment the no arbitrage condition is derived …

insurance portfolio and combining them with financial trading strategies we arrive at the notion of insurance-finance arbitrage … valuation rule, called QP-rule, which is market consistent and excludes IFA.Utilizing the theory of enlargements of filtrations …

We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by … Gatheral in 2004. The main ingredient is an intermediary characterization of the necessary condition for no arbitrage obtained … straightforward implementation of a least-squares calibration algorithm on the no arbitrage domain, which yields an excellent fit on …

literature attributes to mispricing of Treasury Inflation-Protected Securities (TIPS). In theory, factors driving TIPS mispricing …

arbitrage limits in pricing commodity futures. We also contribute to the Theory of Storage literature, which has largely ignored …We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in … violations of the no-arbitrage futures pricing conditions due to storage capacity constraints at the WTI futures delivery hub. We …