without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …

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

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …