• Corpus ID: 73717360

Arbitrage and Geometry

@article{Naiman2017ArbitrageAG,
  title={Arbitrage and Geometry},
  author={Daniel Q. Naiman and Edward R. Scheinerman},
  journal={arXiv: Mathematical Finance},
  year={2017}
}
This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of possible scenarios. We explain the Arbitrage Theorem, discuss its geometric meaning, and show its equivalence to Farkas' Lemma. We then ask a seemingly innocent question: given a random payoff matrix, what is the probability of an arbitrage opportunity? This question leads to some interesting… 

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