Model selection and arbitrage

We discuss which classes of trading strategies admit arbitrage of the first kind for different types of models in a unified multidimensional semimartingale setting, criteria when the differences between these settings vanish,... [ view full abstract ]

We discuss which classes of trading strategies admit arbitrage of the first kind for different types of models in a unified multidimensional semimartingale setting, criteria when the differences between these settings vanish, which types of strategies are required to exploit possibly existing arbitrage opportunities, and consequences for model choice and model risk.