concept of no asymptotic arbitrage (of the first kind) which is invariant under discounting. We give two dual …,∞) can be viewed as a large financial market and how no asymptotic arbitrage, both classic and in our new sense, then relates … to no-arbitrage properties directly on [0,∞) …

, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. The object of the present paper is to resolve this contradiction by …

Arbitrage Pricing Theory (APT) framework. We follow the APT-related literature and estimate the common factor structure from a …

Arbitrage-Free class of dynamic Nelson-Siegel term structure models with stochastic volatility to obtain the domestic and … foreign discount rate variations, which in turn are used to derive a representation of exchange rate depreciations. No-arbitrage …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. The object of the present paper is to resolve this contradiction by …

provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the … fragility of these ETFs. We focus on corporate bond ETFs and examine the role of authorized participants (APs) in ETF arbitrage …. In addition to their role as dealers in the underlying bond market, APs also play a unique role in arbitrage between the …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal … distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in … terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution …

In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal … distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in … terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution …