markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently …, compatible with some equilibrium) if and only if it is, when appropriately renormalized, a martingale for some equivalent … probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their …

price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a … utility maximization program and the equilibrium approach through the market clearing conditions. When there are imperfections …

price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a … utility maximization program and the equilibrium approach through the market clearing conditions. When there are imperfections …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator … compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator … compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits …

The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that … so, extolling the virtues of equilibrium theory; then we present a critique and describe why this approach is inherently …’t be a question of dogma, but should be resolved empirically. There are situations where equilibrium models provide useful …

In this study, we examine whether the arbitrage is limited for the trading stocks at Istanbul Stock Exchange (ISE … emerging in the short term have been corrected in a short time. Accordingly, it can be concluded that the arbitrage is not …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …