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q-fin.PR2019★ 2 cited
The Black-Scholes Equation in Presence of Arbitrage
Simone Farinelli, Hideyuki Takada
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation. First, for a generic market…
q-fin.PR2009
Gauge Invariance, Geometry and Arbitrage
Samuel E. Vazquez, Simone Farinelli
In this work, we identify the most general measure of arbitrage for any market model governed by Itô processes. We show that our arbitrage measure is invariant under changes of num…