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arbitrage
(redirected from Arbitrage-free)

    Also found in: Legal, Financial, Wikipedia, Hutchinson 0.01 sec.
arbitrage: see foreign exchange foreign exchange, methods and instruments used to adjust the payment of debts between two nations that employ different currency systems. A nation's balance of payments has an important effect on the exchange rate of its currency.
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arbitrage

Business operation involving the purchase of foreign currency, gold, financial securities, or commodities in one market and their almost simultaneous sale in another market, in order to profit from price differentials existing between the markets. In the 1980s a form of speculation called risk arbitrage arose, in which speculators tried to identify companies targeted for takeover and buy blocks of their stock, to be resold at a profit when the takeover was announced and the company's stock rose in value. See also insider trading; security.
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I take as given an arbitrage-free setting in which all securities are priced in terms of some short-term interest rate process r and equivalent martingale measure Q.
A model to price puttable corporate bonds with default risk by Wang, David / Journal of Academy of Business and Economics
The pricing and valuation of credit default swaps has evolved over time and today adopts a pricing method based on calculated arbitrage-free market price relationships.
Explore the Fundamentals of Credit Derivatives and the Different ... by Business Wire
The new modeling technology combines an updated prepayment model with innovative mortgage rate and term structure models to capture the interaction of mortgage valuations with other fixed income markets in an arbitrage-free manner.
Goldman Sachs Releases New Mortgage-Backed Securities Valuation ... by Business Wire
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