A condition of limited arbitrage is defined on the endowments and the preferences of the traders in an Arrow-Debreu economy. Theorem 1 establishes that limited arbitrage is necessary and sufficient ...

Merton, Robert C. "Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions." Massachusetts Institute of Technology (MIT), August 1968. Mimeo.

Currency arbitrage refers to the practice of taking advantage of exchange rate differences in various foreign exchange market venues to make a net profit. Currency arbitrage plays a significant role ...

One of the most fundamental results in finance is the equivalence of a no-arbitrage condition to the existence of a pricing operator in markets without transaction costs (see Ross(1978)). Garman and ...

Financial market models lie at the intersection of applied probability, economics and mathematical finance, providing robust frameworks to describe asset price dynamics and risk management. Central to ...

The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this ...

In late April, biotechnology firm Opko Health Inc. (NYSE:OPK) announced that it would acquire Israeli pharmaceutical start-up PROLOR Biotech Inc (NYSEMKT:PBTH) in a stock-for-stock deal that currently ...

(Photo by Tian Ye/Visual China Group via Getty Images) “When people look at this, they look for fundamental reasons to explain it, but there are no fundamental reasons.” - A Professor of Finance at ...