neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the … of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited … only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage …

arbitrage. The main idea in statistical arbitrage is to exploit short-term deviations in returns from a long-term equilibrium …

arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …

In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … introduce a new way of defining “absence of arbitrage”. It rests on the new notion of a strategy being strongly share maximal … absence-of-arbitrage concepts do not change when we look at discounted or undiscounted prices, and they can be used in open …