In the modern version of Arbitrage Pricing Theory suggested by Kabanov and Kramkov the fundamental fi nancially … meaningful concept is an asymptotic arbitrage. The 'real world' large market is represented by a sequence of 'models' and, though … each of them is arbitrage free, investors may obtain non-risky pro ts in the limit. Mathematically, absence of the …

a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI …

converges to zero inclusive of liquidity costs. An arbitrage-free interval is identified and in contrast to transaction costs …

In this paper, we provide an alternative framework for constructing an arbitrage-free European-style option surface …

costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive backward stochastic … the definition of buyer's and seller's XVA, which in turn identify a no-arbitrage interval.In the case that borrowing and …

enforce no-arbitrage constraints in strike and calendar dimensions we establish sufficient no-arbitrage conditions on the …

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and … constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These … segmentation drive arbitrage dynamics. First, funding is segmented--certain trades rely on specific funding sources, making their …

We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate … arbitrage-free implied volatility surfaces. Our approach conciliates static arbitrage constraints with a realistic …