We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically …, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999 …-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those …

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …

In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting …

developed and used for numerical studies. No-arbitrage conditions were also discussed …

credit derivatives market, although the five methods considered here can also be used in other OTC derivative markets such as … maintaining the added benefit of netting across all mutual ISDA derivative contracts …

. Specifically we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence …