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 …

uncertainty in standard form commercial contracts creates an opportunity for “contractual arbitrage”: parties may argue, ex post … that the scope for contractual arbitrage is a direct function of the techniques that courts use to resolve ambiguities in … of contractual arbitrage in standard form commercial contracting when courts give indeterminate terms idiosyncratic …

variable in explaining stock returns; 3) Apply APT theory and establish that macro economic factors affect the returns of IT …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for a … asymptotic arbitrage without transaction costs; but with transaction costs there does not exist any form of asymptotic arbitrage …

We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy … is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage …

allows a limited notion of arbitrage in the market while still providing coherent option prices. Several properties of the …

This paper presents various finite difference schemes applied to the SABR arbitrage free density problem. Hagan …

Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT … enables me to apply the theory of Hilbert spaces in a natural way. The expected return on any asset can always be approximated …