{"id":"https://openalex.org/W2158922831","doi":"https://doi.org/10.1137/140953666","title":"Market Models with Optimal Arbitrage","display_name":"Market Models with Optimal Arbitrage","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W2158922831","doi":"https://doi.org/10.1137/140953666","mag":"2158922831"},"language":"en","primary_location":{"id":"doi:10.1137/140953666","is_oa":false,"landing_page_url":"https://doi.org/10.1137/140953666","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1312.4979","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5010619583","display_name":"Huy N. Chau","orcid":"https://orcid.org/0000-0002-3701-2430"},"institutions":[{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Huy N. Chau","raw_affiliation_strings":[">University of Padua"],"affiliations":[{"raw_affiliation_string":">University of Padua","institution_ids":["https://openalex.org/I138689650"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052828075","display_name":"Peter Tankov","orcid":"https://orcid.org/0000-0003-4882-9806"},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Peter Tankov","raw_affiliation_strings":["Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires"],"affiliations":[{"raw_affiliation_string":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","institution_ids":["https://openalex.org/I4210147464"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5010619583"],"corresponding_institution_ids":["https://openalex.org/I138689650"],"apc_list":null,"apc_paid":null,"fwci":3.4453,"has_fulltext":true,"cited_by_count":14,"citation_normalized_percentile":{"value":0.92694491,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"6","issue":"1","first_page":"66","last_page":"85"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"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":0.9995999932289124,"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/T12137","display_name":"Economic theories and models","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9858999848365784,"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":0.928540825843811},{"id":"https://openalex.org/keywords/index-arbitrage","display_name":"Index arbitrage","score":0.801652729511261},{"id":"https://openalex.org/keywords/risk-arbitrage","display_name":"Risk arbitrage","score":0.6422368288040161},{"id":"https://openalex.org/keywords/fundamental-theorem-of-asset-pricing","display_name":"Fundamental theorem of asset pricing","score":0.6101406812667847},{"id":"https://openalex.org/keywords/statistical-arbitrage","display_name":"Statistical arbitrage","score":0.6020892262458801},{"id":"https://openalex.org/keywords/impossibility","display_name":"Impossibility","score":0.5387126207351685},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4979283809661865},{"id":"https://openalex.org/keywords/covered-interest-arbitrage","display_name":"Covered interest arbitrage","score":0.4948398470878601},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4937673509120941},{"id":"https://openalex.org/keywords/fixed-income-arbitrage","display_name":"Fixed income arbitrage","score":0.47912976145744324},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.45959553122520447},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4545012414455414},{"id":"https://openalex.org/keywords/relative-value","display_name":"Relative value","score":0.4351653456687927},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.36374998092651367},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.3399444818496704},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3128206431865692},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.16270548105239868},{"id":"https://openalex.org/keywords/interest-rate-parity","display_name":"Interest rate parity","score":0.15949323773384094},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.11584052443504333},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10830345749855042}],"concepts":[{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.928540825843811},{"id":"https://openalex.org/C52008547","wikidata":"https://www.wikidata.org/wiki/Q6017830","display_name":"Index arbitrage","level":5,"score":0.801652729511261},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.6422368288040161},{"id":"https://openalex.org/C28451198","wikidata":"https://www.wikidata.org/wiki/Q5508973","display_name":"Fundamental theorem of asset pricing","level":4,"score":0.6101406812667847},{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.6020892262458801},{"id":"https://openalex.org/C2776261394","wikidata":"https://www.wikidata.org/wiki/Q315562","display_name":"Impossibility","level":2,"score":0.5387126207351685},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4979283809661865},{"id":"https://openalex.org/C115273593","wikidata":"https://www.wikidata.org/wiki/Q11679922","display_name":"Covered interest arbitrage","level":4,"score":0.4948398470878601},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4937673509120941},{"id":"https://openalex.org/C73688673","wikidata":"https://www.wikidata.org/wiki/Q5456369","display_name":"Fixed income arbitrage","level":5,"score":0.47912976145744324},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.45959553122520447},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4545012414455414},{"id":"https://openalex.org/C201236551","wikidata":"https://www.wikidata.org/wiki/Q7310809","display_name":"Relative value","level":2,"score":0.4351653456687927},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.36374998092651367},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.3399444818496704},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3128206431865692},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.16270548105239868},{"id":"https://openalex.org/C82843974","wikidata":"https://www.wikidata.org/wiki/Q205231","display_name":"Interest rate parity","level":3,"score":0.15949323773384094},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.11584052443504333},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10830345749855042},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1137/140953666","is_oa":false,"landing_page_url":"https://doi.org/10.1137/140953666","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:pure.atira.dk:openaire_cris_publications/0e992115-f141-4360-a706-b4148b2a83ab","is_oa":false,"landing_page_url":"https://research.manchester.ac.uk/en/publications/0e992115-f141-4360-a706-b4148b2a83ab","pdf_url":null,"source":{"id":"https://openalex.org/S4306400662","display_name":"Research Explorer (The University of Manchester)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I28407311","host_organization_name":"University of Manchester","host_organization_lineage":["https://openalex.org/I28407311"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Chau, H & Tankov, P 2015, 'Market models with optimal arbitrage', SIAM Journal on Financial Mathematics, vol. 6, no. 1, pp. 66-85. < https://epubs.siam.org/doi/abs/10.1137/140953666 >","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:arXiv.org:1312.4979","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1312.4979","pdf_url":"https://arxiv.org/pdf/1312.4979","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:HAL:hal-01172490v1","is_oa":false,"landing_page_url":"https://hal.science/hal-01172490","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Financial Mathematics, 2015, 6 (1), pp.66-85. &#x27E8;10.1137/140953666&#x27E9;","raw_type":"Journal articles"},{"id":"pmh:oai:www.research.unipd.it:11577/3041158","is_oa":false,"landing_page_url":"http://hdl.handle.net/11577/3041158","pdf_url":null,"source":{"id":"https://openalex.org/S4377196283","display_name":"Research Padua  Archive (University of Padua)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I138689650","host_organization_name":"University of Padua","host_organization_lineage":["https://openalex.org/I138689650"],"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":"info:eu-repo/semantics/other"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1312.4979","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1312.4979","pdf_url":"https://arxiv.org/pdf/1312.4979","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2158922831.pdf","grobid_xml":"https://content.openalex.org/works/W2158922831.grobid-xml"},"referenced_works_count":55,"referenced_works":["https://openalex.org/W34998272","https://openalex.org/W155319945","https://openalex.org/W1481813283","https://openalex.org/W1536686722","https://openalex.org/W1562279134","https://openalex.org/W1588690085","https://openalex.org/W1597562380","https://openalex.org/W1967998192","https://openalex.org/W1973025330","https://openalex.org/W1977403568","https://openalex.org/W1985018066","https://openalex.org/W1988314419","https://openalex.org/W1994438934","https://openalex.org/W1995522593","https://openalex.org/W1998549733","https://openalex.org/W2001836722","https://openalex.org/W2013932684","https://openalex.org/W2014897999","https://openalex.org/W2019443855","https://openalex.org/W2019898323","https://openalex.org/W2049014086","https://openalex.org/W2076458153","https://openalex.org/W2081877251","https://openalex.org/W2084397403","https://openalex.org/W2092120257","https://openalex.org/W2095487918","https://openalex.org/W2099593114","https://openalex.org/W2110431828","https://openalex.org/W2120900212","https://openalex.org/W2121628958","https://openalex.org/W2143296890","https://openalex.org/W2157390830","https://openalex.org/W2164288937","https://openalex.org/W2166720436","https://openalex.org/W2167812831","https://openalex.org/W2174017473","https://openalex.org/W2208466798","https://openalex.org/W2784772637","https://openalex.org/W2949673237","https://openalex.org/W3037496206","https://openalex.org/W3099391567","https://openalex.org/W3101893726","https://openalex.org/W3101993491","https://openalex.org/W3104118227","https://openalex.org/W3121256017","https://openalex.org/W3122089059","https://openalex.org/W3122145135","https://openalex.org/W3122466678","https://openalex.org/W3122831581","https://openalex.org/W3124385486","https://openalex.org/W3124882284","https://openalex.org/W3125113852","https://openalex.org/W4229620168","https://openalex.org/W4244967830","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W33851711","https://openalex.org/W2505925597","https://openalex.org/W2134645398","https://openalex.org/W634388619","https://openalex.org/W2040524659","https://openalex.org/W2366191839","https://openalex.org/W2158922831","https://openalex.org/W4299724053","https://openalex.org/W4310984695","https://openalex.org/W2952423160"],"abstract_inverted_index":{"We":[0,9,115,144],"construct":[1,102],"and":[2,33,71,111,161],"study":[3],"market":[4,89,103,122],"models":[5,104,123,167],"admitting":[6],"optimal":[7,15,44,62,82,107],"arbitrage.":[8],"say":[10],"that":[11,67],"a":[12,22,40,98],"model":[13],"admits":[14],"arbitrage":[16,45,63,84,108,150,166],"if":[17],"it":[18],"is":[19,47,64,91,112],"possible,":[20],"in":[21,68,171],"zero-interest":[23],"rate":[24],"setting,":[25],"starting":[26],"with":[27,85,124,152],"an":[28],"initial":[29],"wealth":[30],"of":[31,61,121,136,149,157,165],"1":[32],"using":[34],"only":[35],"positive":[36],"portfolios,":[37],"to":[38,66,87,101,154],"superreplicate":[39],"constant":[41,53],"$c>1$.":[42],"The":[43],"strategy":[46,49,109],"the":[48,55,88,106,134,147,158],"for":[50],"which":[51,126,168],"this":[52,94,172],"has":[54],"highest":[56],"possible":[57],"value.":[58],"Our":[59],"definition":[60],"similar":[65],"[D.":[69],"Fernholz":[70],"I.":[72],"Karatzas,":[73],"Ann.":[74],"Appl.":[75],"Probab.,":[76],"20":[77],"(2010),":[78],"pp.":[79],"1179--1204],":[80],"where":[81,105],"relative":[83],"respect":[86,153],"portfolio":[90],"studied.":[92],"In":[93],"work":[95],"we":[96],"present":[97],"systematic":[99],"method":[100],"exists":[110],"known":[113],"explicitly.":[114],"then":[116],"develop":[117],"several":[118],"new":[119,163],"examples":[120,164],"arbitrage,":[125],"are":[127,169],"based":[128],"on":[129],"economic":[130],"agents'":[131],"views":[132],"concerning":[133],"impossibility":[135],"certain":[137],"events":[138],"rather":[139],"than":[140],"ad":[141],"hoc":[142],"constructions.":[143],"also":[145],"explore":[146],"robustness":[148],"strategies":[151],"small":[155],"perturbations":[156],"price":[159],"process":[160],"provide":[162],"robust":[170],"sense.":[173]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}
