. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …

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 …

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 …

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 … premium, and an important channel for predicting inflation, bond and equity excess returns, jointly …

sheet in both roles. We find that bond market illiquidity limits ETF arbitrage. Using novel AP-level balance sheet data, we … further find that large bond flow shocks to AP balance sheets also limit ETF arbitrage, leading to persistent relative …We study arbitrage in ETFs holding illiquid corporate bonds, focusing on authorized participants (APs) and their …

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 …

We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short … costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions …