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 …

taking into account model uncertainty. In this sense, the application of our method might make statistical arbitrage more … robust, because the trading code for statistical arbitrage is often based on the statistical test which might lead the …

In this work, we identify the most general measure of arbitrage for any market model governed by Ito processes. We show … that our arbitrage measure is invariant under changes of numeraire and equivalent probability. Moreover, such measure has a … geometrical interpretation as a gauge connection. The connection has zero curvature if and only if there is no arbitrage. We prove …

Concepts are introduced for analyzing arbitrage portfolios in the face of ambiguity about investor risk preferences and … initial portfolio holdings. A Stochastic Arbitrage Opportunity is a self-financing overlay portfolio which enhances every … developed to analyze the behavior of the empirical optimal arbitrage portfolio if the latent parameters of the joint payoff …

We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the … premise that tax scale is convex, we analyze prices that do not exhibit arbitrage opportunities. It turns out that there are … two kinds of arbitrage: unbounded as well as bounded arbitrage. With bounded arbitrage, the gain from forming an arbitrage …

many financial applications require simulated asset returns to be free of arbitrage opportunities. We analytically derive … no-arbitrage bounds for expected excess returns to be used in the context of ROM simulation, and we establish the … theoretical relation between the number of states (i.e., the sample size) and the size of (no-)arbitrage regions. Based on these …