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 …

insurance portfolio and combining them with financial trading strategies we arrive at the notion of insurance-finance arbitrage … valuation rule, called QP-rule, which is market consistent and excludes IFA.Utilizing the theory of enlargements of filtrations …

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 …

arbitrage limits in pricing commodity futures. We also contribute to the Theory of Storage literature, which has largely ignored …We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in … violations of the no-arbitrage futures pricing conditions due to storage capacity constraints at the WTI futures delivery hub. We …

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 …

traders arbitrage, thus restricting producers' market power. Using detailed individual data, I examine physical and financial …

This Article presents a skeptical, though not dismissive, view of appraisal arbitrage. While there are benefits … associated with appraisal litigation, the Article introduces both economic theory and empirical evidence demonstrating that … increased levels of appraisal arbitrage also create efficiency costs and distributional concerns. Given the need to balance …

The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different …

rate to use in common valuation formulas. We apply arbitrage theory in a riskless, as well as risky, (multi-period) economy …'s initial endowment.With tax liabilities that are a convex function of the tax base we identify a new kind of arbitrage: trading … ‘bounded' arbitrage opportunities.Going beyond earlier research, we are able to give a complete characterization based on …