We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that … solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker than … classical absence of arbitrage opportunities. We center our analysis on this characterization of market viability and derive …

The capital structure arbitrage strategy exploits the discrepancies between the credit default swap and equity markets … traditional arbitrage trading during the financial crisis. Furthermore, the returns of the new strategies have lower correlation … with market returns than the standard capital structure arbitrage …

positive correlation between the equity and derivative holdings of mutual fund schemes against the Nifty Arbitrage 50 Index and … – the Securities and Exchange Board of India (SEBI) are making Arbitrage funds get attention. Low risk, attractive tax … their arbitrage schemes with a minimum of 65 percent exposure to equity and equity-equivalent exposure to explore arbitrage …

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 …

Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

In this work, we identify the most general measure of arbitrage for any market model governed by Ito processes. We show … that our arbitrage measure is invariant under changes of numeraire and equivalent probability. Moreover, such measure has a … geometrical interpretation as a gauge connection. The connection has zero curvature if and only if there is no arbitrage. We prove …

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