It is shown that the absence of call spread, butterfly spread and calendar spread arbitrages is sufficient to exclude all static arbitrages from a set of option price quotes across strikes and maturities on a single underlier.  2005 Elsevier Inc. All rights reserved. JEL classification: G10; G12; G13; G14

This paper proposes an alternative to the asymptotic principal components procedure of Connor and Korajczyk (J. Financial Econom. 15 (1986) 373) that is robust to time series heteroskedasticity in the factor model residuals. The new method is simple to use and requires no assumptions stronger than those made by Connor and Korajczyk. It is demonstrated through simulations and analysis of actual ...

We prove that in smooth Markovian continuous–time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist. JEL subject classification: D52, D53, G12 2010 Mathematics Subject Classification: 91B50, 91G80

This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. In the sixteen-year period that has been analyzed the relation between stock returns and the macroeconomic factors is found to be highly unstable: not only are the betas of individual securities virtually uncorrelated over time, but a high perc...

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices. JEL Classification: D51, D91, G10, G12

Article history: Received 27 February 2009 Received in revised form 22 May 2009 Accepted 29 August 2009 Available online 12 September 2009 JEL classification: G12

Article history: Received 14 July 2014 Received in revised form 26 May 2016 Available online 15 June 2016 JEL classification: D91 E21 G12 J24

In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever a logarithmic utility maximiser enters the...