trade-time volatilities. We jointly develop theoretical foundations of "no speculative arbitrage'' whose implications … month windows. We find strong support for no speculative arbitrage at a moment in time, but not across time …

The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …

, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

-switching Heath-Jarrow-Morton (HJM) model and prove that the considered market is arbitrage-free. We derive pricing formulas for caps …