for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of … cat bond returns. After investigating a battery of possible cat bond return factors in bivariate and multivariate … portfolio sorts as well as Fama-MacBeth regressions, we propose a four-factor cat bond model. Its factors are the seasonality …

sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …This paper studies the implications of arbitrage in a large asset market under conditions of (Knightian) uncertainty ….First, I adapt the notion of arbitrage to a market in which the assets' returns are affected by uncertainty across probability …

Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as … arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of …

, and recovery rate. This complexity requires a proper no-arbitrage approach so that the two types of debt are priced …

The practice of merger arbitrage is one of the more popular and profitable strategies employed by many hedge funds. At …. The risk to an individual risk arbitrage investment, then, comes from one specified source: the risk of deal completion … therefore very important to fully understand the nature and magnitude of the risks inherent in merger arbitrage. This paper …

traced back to certain developments in economic theory since the so-called "marginalist revolution", which enabled the …