We study the criteria of robust absence of arbitrage opportunity (RNA2) of the second kind as initially introduced by … costs allowing for bond market modeling. Robust no arbitrage criteria seems to be unavoidable to assure closedness of the …

We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for a … asymptotic arbitrage without transaction costs; but with transaction costs there does not exist any form of asymptotic arbitrage …

We introduce the regulatory arbitrage of risk measures, one of the key considerations in choosing a suitable risk … measure to use in banking regulation. A regulatory arbitrage is the amount of capital requirement reduced by splitting a … regulatory arbitrage; dividing risks will not reduce the total capital requirement under a coherent risk measure. However, risk …

neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the … of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited … only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage …

The Black-Scholes theory for a portfolio with an arbitrary number of shares, x, is expanded for the case of finite …), the arbitrage-free condition yields option price that depends on x. This is because the arbitrage-free condition alone … an arbitrage-free portfolio …

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

Arbitrage trading strategies are a class of trading strategies that involve buying and selling financial instruments to … take advantage of price discrepancies. The goal of arbitrage trading is to make a profit from the differences in prices … between securities or markets, without taking on significant directional risk. Arbitrage trading strategies typically rely on …

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 …