A Linear Pricing Rule is established for the No Strong Arbitrage Principle (NSAP) in a finite state, single period …

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

Toxic arbitrage opportunities are caused by information arriving in one market leading to short lived price deviations … between markets. This paper shows that the direction of such arbitrage opportunities provides valuable insights into price … unbiased measure of information shares based on the frequency of toxic arbitrage opportunities. This measure has several …

market equilibrium. Moreover, we investigate on different pricing strategies followed by market makers on the customer …

The impact of transaction costs on asset pricing in equilibrium is rarely studied. We study an equilibrium model with … transaction cost there always exist no trade equilibria. There are also equilibria with trade. High equilibrium risk exposure … risk aversions, the equilibrium liquidity premia and risk exposure are high. The equilibrium expected rebalancing costs are …

arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the … Hong Kong real estate market is not efficient and there are expected arbitrage opportunities and anomalies in the Hong Kong …

-2009. We study the effect of leverage, tranching, securitization and CDS on asset prices in a general equilibrium model with …