A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities. The resulting relatio…
We apply Gauge Theory of Arbitrage (GTA) {hep-th/9710148} to derivative pricing. We show how the standard results of Black-Scholes analysis appear from GTA and derive correction to the Black-Scholes equation due to a virtual arbitrage and speculators reaction on it. The model accounts for both violation of the no-arbit…
A method using optimal transport removes arbitrage in option prices for stress-testing.
The paper analyzes CEX-DEX arbitrage and profitability on Ethereum, revealing centralization trends and market impacts.
The method constructs arbitrage-free option surfaces from noisy quotes using Chebyshev bases and a fog post-fit layer.
We create consistent option surfaces without arbitrage.
In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in the short term. For each energy, the future returns are represented as the sum of volatility functions driven by motions. Under the risk neutr…
In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market unde…
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As an application--in fact the original motivation for this paper--we derive small-strike expansions for the implied volatility when the maturit…
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors. Within such double-curve-single-currency framework, adopted by the market…
New algorithm finds more arbitrage opportunities in DEXs.
This paper introduces strategies to maximize arbitrage profits in decentralized exchanges.
Study upper hedging prices for contingent claims in models with various types of arbitrage.
The paper explores arbitrage in financial markets under uncertainty using Wasserstein distance.
The paper investigates cyclic arbitrage opportunities in decentralized exchanges.
This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a numéraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the notions of investment-consumption arbitrage and pure-investment arbitrage provide…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate a constant c>1. The optimal arbitrage strategy is the strategy for…
No-arbitrage constraints on implied variance slope are weak, leading to almost guaranteed arbitrage in many cases.
We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy. --Give the Fundamental Theorem of Asset …
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition …
New method finds better arbitrage opportunities in AMMs.
In this work a relation between a measure of short-term arbitrage in the market and the excess growth of portfolios as a notion of long-term arbitrage is established. The former originates from "Geometric Arbitrage Theory" and the latter from "Stochastic Portfolio Theory". Both aim to describe non-equilibrium effects i…
We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing, Physica A 345 (2005), 207-217] for the case of hedging a derivative when arbitrag…
Deep learning models reconstruct volatility surfaces from noisy data under no-arbitrage constraints.
In frictionless financial markets, no-arbitrage is a local property in time. This means that a discrete time model is arbitrage-free if and only if there does not exist a one-period-arbitrage. With capital gains taxes, this equivalence fails. For a model with a linear tax and one non-shortable risky stock, we introduce…
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other.
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy to construct diffusion models which are both diverse and free of arbitrage. Can o…
Reflected geometric Brownian motion models are not arbitrage-free.
Develops a deep learning approach for statistical arbitrage.
New method finds arbitrage opportunities in fluctuating asset bands.
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class of significant sets, which we call Arbitrage de la classe . The choice of reflects into the int…
We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for mom…
New method for pricing financial products without no-arbitrage condition.
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with la…
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly…
Study calculates arbitrage gains between two markets with limited liquidity.
Short selling is key to exploiting arbitrage opportunities in financial markets.
No arbitrage in financial markets with special semimartingales.
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market. Thus the difference between the arbitrag…
Faster Ethereum slots boost CEX-DEX arbitrage by 535% and 203%.
In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbit…
Proposes a method to repair arbitrage in option prices data.
Study arbitrage in financial markets with trading restrictions.
We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk. We provide a complete characterisation…
New method calibrates eSSVI volatility surfaces without arbitrage.
Backward SDEs help price XVA for OTC derivatives.
This paper analyzes how multiple investors can exploit relative arbitrage opportunities.
Characterizes no Butterfly arbitrage in SVI model parameters.