Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals

Convergence of Arbitrage-free Discrete Time Markovian Market Models

We consider two sequences of Markov chains inducing equivalent measures on the discrete path space. We establish conditions under which these two measures converge weakly to measures induced on the Wiener space by weak solutions of two SDEs, which are unique in the sense of probability law. We are going to look at the relation between these two limits and at the convergence and limits of a wide...

Arbitrage and universal pricing

This paper considers two methods for pricing assets and examines the relations between them. The +rst method is based on the principle of no-arbitrage, which asserts that introduction of the new asset should not create an arbitrage in a market that was before arbitrage free. This condition is satis+ed by prices for the new asset between speci+c lower and upper limits, determined as the values o...

Non Arbitrage and the Fundamental Theorem of Asset Pricing

The concept of no arbitrage roughly says that it is impossible to make money out of nothing. The mathematical translation of this concept uses martingale theory and stochastic analysis. The paper gives an overview of the results obtained by the authors.

The Amendment and Empirical Test of Arbitrage Pricing Models

The classical APT model is of the form j j j j EI I r E r ε β + − = − ) ( ) ( , where ) ( j j r E r − is the earning deviation (called basic variance-profit) of the security I j, is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage pricing model as follows j j j ...

The Arbitrage Pricing Theory and Multifactor Models of Asset Returns*