arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

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 …