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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs

Lepinette, Emmanuel - 2012

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

Persistent link: https://www.econbiz.de/10013107809

Arbitrage bounds for prices of weighted variance swaps

Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854

Persistent link: https://www.econbiz.de/10011308161

Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs

Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 1, pp. 135-154

Persistent link: https://www.econbiz.de/10009423233

On optimal strategies for utility maximizers in the arbitrage pricing model

Rásonyi, Miklós - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-12

Persistent link: https://www.econbiz.de/10011568831

Optimal portfolio selection in nonlinear arbitrage spreads

Alsayed, Hamad; McGroarty, Frank - In: The European journal of finance 19 (2013) 3/4, pp. 206-227

Persistent link: https://www.econbiz.de/10010243657

Linear factor models in finance

Knight, John; Knight, John L.; Satchell, Stephen - 2005

Persistent link: https://www.econbiz.de/10001973380

How arbitrage-free is the Nelson-Siegel model?

Coroneo, Laura; Nyholm, Ken; Vidova-Koleva, Rositsa - In: Journal of empirical finance 18 (2011) 3, pp. 393-407

Persistent link: https://www.econbiz.de/10009302103

How arbitrage-free is the Nelson-Siegel Model?

Coroneo, Laura (contributor); Nyholm, Ken (contributor); … - 2008

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 …

Persistent link: https://www.econbiz.de/10003748975

How Arbitrage-Free is the Nelson-Siegel Model?

Coroneo, Laura; Nyholm, Ken; Vidova-Koleva, Rositsa - 2021

Persistent link: https://www.econbiz.de/10013316584

Robust arbitrage conditions for financial markets

Singh, Derek; Zhang, Shuzong - In: Operations research forum 2 (2021) 3, pp. 1-51

Persistent link: https://www.econbiz.de/10012589911