{"id":"https://openalex.org/W2168252697","doi":"https://doi.org/10.1007/s00780-010-0152-6","title":"Deterministic criteria for the absence of arbitrage in\u00a0one-dimensional diffusion models","display_name":"Deterministic criteria for the absence of arbitrage in\u00a0one-dimensional diffusion models","publication_year":2010,"publication_date":"2010-12-21","ids":{"openalex":"https://openalex.org/W2168252697","doi":"https://doi.org/10.1007/s00780-010-0152-6","mag":"2168252697"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-010-0152-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-010-0152-6","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103267225","display_name":"Aleksandar Mijatovi\u0107","orcid":"https://orcid.org/0000-0003-0531-3551"},"institutions":[{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Aleksandar Mijatovi\u0107","raw_affiliation_strings":["Department of Statistics, University of Warwick, Coventry, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Warwick, Coventry, UK","institution_ids":["https://openalex.org/I39555362"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5073241236","display_name":"Mikhail Urusov","orcid":null},"institutions":[{"id":"https://openalex.org/I196349391","display_name":"Universit\u00e4t Ulm","ror":"https://ror.org/032000t02","country_code":"DE","type":"education","lineage":["https://openalex.org/I196349391"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Mikhail Urusov","raw_affiliation_strings":["Institute of Mathematical Finance, Ulm University, Ulm, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Mathematical Finance, Ulm University, Ulm, Germany","institution_ids":["https://openalex.org/I196349391"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5073241236"],"corresponding_institution_ids":["https://openalex.org/I196349391"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.5369,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.86937376,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"16","issue":"2","first_page":"225","last_page":"247"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9979000091552734,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9979000091552734,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9962999820709229,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9754999876022339,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.9415241479873657},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.6872861385345459},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.5083238482475281},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4845527708530426},{"id":"https://openalex.org/keywords/index-arbitrage","display_name":"Index arbitrage","score":0.4835067093372345},{"id":"https://openalex.org/keywords/risk-arbitrage","display_name":"Risk arbitrage","score":0.46740061044692993},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.46329036355018616},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4572354257106781},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4221063256263733},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3474951684474945},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.2092818021774292},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.1610579490661621},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.10217738151550293},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.07190608978271484}],"concepts":[{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.9415241479873657},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.6872861385345459},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.5083238482475281},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4845527708530426},{"id":"https://openalex.org/C52008547","wikidata":"https://www.wikidata.org/wiki/Q6017830","display_name":"Index arbitrage","level":5,"score":0.4835067093372345},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.46740061044692993},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.46329036355018616},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4572354257106781},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4221063256263733},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3474951684474945},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.2092818021774292},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1610579490661621},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.10217738151550293},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.07190608978271484}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s00780-010-0152-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-010-0152-6","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:1005.1861","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"preprint"},{"id":"pmh:oai:RePEc:spr:finsto:v:16:y:2012:i:2:p:225-247","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-010-0152-6","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:wrap.warwick.ac.uk:44732","is_oa":false,"landing_page_url":"http://wrap.warwick.ac.uk/44732/","pdf_url":null,"source":{"id":"https://openalex.org/S4306400665","display_name":"Warwick Research Archive Portal (University of Warwick)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I39555362","host_organization_name":"University of Warwick","host_organization_lineage":["https://openalex.org/I39555362"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/10","score":0.49000000953674316,"display_name":"Reduced inequalities"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W30805069","https://openalex.org/W134515164","https://openalex.org/W146185276","https://openalex.org/W403266949","https://openalex.org/W643283668","https://openalex.org/W1481813283","https://openalex.org/W1498729261","https://openalex.org/W1545370368","https://openalex.org/W1560029174","https://openalex.org/W1580561995","https://openalex.org/W1613583603","https://openalex.org/W1963490892","https://openalex.org/W2003850034","https://openalex.org/W2021163852","https://openalex.org/W2040242801","https://openalex.org/W2076458153","https://openalex.org/W2081877251","https://openalex.org/W2092120257","https://openalex.org/W2095487918","https://openalex.org/W2111547666","https://openalex.org/W2119353074","https://openalex.org/W2120900212","https://openalex.org/W2149800224","https://openalex.org/W2157390830","https://openalex.org/W2164288937","https://openalex.org/W2167812831","https://openalex.org/W2288178163","https://openalex.org/W3039948875","https://openalex.org/W3104118227","https://openalex.org/W3122466678","https://openalex.org/W4213342068","https://openalex.org/W4244967830","https://openalex.org/W4254427495","https://openalex.org/W4293092461","https://openalex.org/W4301668100"],"related_works":["https://openalex.org/W2347976213","https://openalex.org/W1991112490","https://openalex.org/W33851711","https://openalex.org/W3048142416","https://openalex.org/W634388619","https://openalex.org/W221566700","https://openalex.org/W2386799696","https://openalex.org/W1510820065","https://openalex.org/W3123471613","https://openalex.org/W2082979199"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2}],"updated_date":"2026-05-22T09:01:20.584952","created_date":"2025-10-10T00:00:00"}
