unfeasible and therefore the pricing of the assets becomes a simultaneous valuation problem, nonlinearly depending on the … the share and sell the riskless bond. More surprisingly we find that the representative asset-pricing-model overprices the …

A central conjecture of behavioural finance is that arbitrage opportunities appear as a result of systematic irrational … investment behaviour and persist since real-world arbitrage trades actually involve costs and risks due to market frictions and … non-fundamental risk. This paper shows that the no-arbitrage condition can emerge from the market selection process even …

start from two simple, economically motivated axioms, namely absence of arbitrage (in the sense of NUPBR) and absence of … relative arbitrage among all buy-and-hold strategies (called static efficiency). A valuation process for a payoff is then … valuing by absence of arbitrage alone. We show that this always yields put-call parity, although put and call values …

different interest rates for borrowing and lending. In the unconstrained case, the classical theory provides a single arbitrage …_{\rm up}]$ of arbitrage-free prices, with endpoints characterized as $h_{\rm low} = \inf_{\nu\in{\cal D}}u_\nu, h_{\rm up …} = \sup_{\nu\in{\cal D}} u_\nu$. Here $u_\nu$ is the analogue of $u_0$, the arbitrage-free price with unconstrained portfolios …

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 …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

transient nature of impact through a resilience function. For covered options, the pricing pde involves gamma constraints but is …

This work presents a review of modeling techniques for pricing in incomplete markets and managing liquidity costs. We … generalizing Almgren et al. (2011)'s liquidity adverse impacts modeling and hedging strategies from standards of short-term high …

-neutral time dynamics. We further deduce a pricing formula for European options written on the precipitation swap and obtain the … minimal variance hedging portfolio in the underlying weather market. In the second part of the paper, we provide a … formula for the associated information premium and investigate minimal variance hedging of precipitation derivatives under …