Pages that link to "Item:Q1897315"
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The following pages link to Martingales and arbitage in securities markets with transaction costs (Q1897315):
Displaying 50 items.
- Computation of distorted probabilities for diffusion processes via stochastic control methods. (Q1584581) (← links)
- Price functionals with bid-ask spreads: An axiomatic approach (Q1592527) (← links)
- Arbitrage, linear programming and martingales in securities markets with bid-ask spreads (Q1601355) (← links)
- Market consistent valuations with financial imperfection (Q1640175) (← links)
- Existence of a Radner equilibrium in a model with transaction costs (Q1670390) (← links)
- Financial market structures revealed by pricing rules: efficient complete markets are prevalent (Q1693190) (← links)
- Discrete-time market models from the small investor point of view and the first fundamental-type theorem (Q1698737) (← links)
- Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions (Q1772980) (← links)
- Convex duality in optimal investment and contingent claim valuation in illiquid markets (Q1788820) (← links)
- On infinite-horizon minimum-cost hedging under cone constraints (Q1853196) (← links)
- Stochastic measures of arbitrage. (Q1871422) (← links)
- Optimal investment with transaction costs and without semimartingales (Q1872364) (← links)
- Explicit solution to the multivariate super-replication problem under transaction costs. (Q1872495) (← links)
- Good deals and compatible modification of risk and pricing rule: a regulatory treatment (Q1932549) (← links)
- Set-valued risk measures for conical market models (Q1938960) (← links)
- Dual representation of superhedging costs in illiquid markets (Q1938969) (← links)
- No-arbitrage of second kind in countable markets with proportional transaction costs (Q1948693) (← links)
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market (Q1972345) (← links)
- A discrete stochastic model for investment with an application to the transaction costs case (Q1975171) (← links)
- Asset pricing theory for two price economies (Q2018556) (← links)
- Fundamental theorem of asset pricing under fixed and proportional transaction costs (Q2022927) (← links)
- Two price economic equilibria and financial market bid/ask prices (Q2036002) (← links)
- Time consistency for scalar multivariate risk measures (Q2076040) (← links)
- Submodular financial markets with frictions (Q2143910) (← links)
- Pareto efficient buy and hold investment strategies under order book linked constraints (Q2150763) (← links)
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions (Q2175464) (← links)
- Trading with small nonlinear price impact (Q2192738) (← links)
- Utility maximization problem with transaction costs: optimal dual processes and stability (Q2232781) (← links)
- Optimal investment and contingent claim valuation in illiquid markets (Q2255004) (← links)
- Estimation of ask and bid prices for geometric Asian options (Q2296530) (← links)
- Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
- Random optimization on random sets (Q2304911) (← links)
- Updating pricing rules (Q2323301) (← links)
- A new portfolio rebalancing model with transaction costs (Q2336854) (← links)
- Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
- Hedging, arbitrage and optimality with superlinear frictions (Q2354892) (← links)
- Merton problem in an infinite horizon and a discrete time with frictions (Q2358298) (← links)
- Efficient portfolios in financial markets with proportional transaction costs (Q2392017) (← links)
- Arbitrage theory for non convex financial market models (Q2403708) (← links)
- Conic asset pricing and the costs of price fluctuations (Q2422123) (← links)
- Nonconvex optimization for pricing and hedging in imperfect markets (Q2426011) (← links)
- Consistent price systems and face-lifting pricing under transaction costs (Q2426603) (← links)
- A model of optimal portfolio selection under liquidity risk and price impact (Q2463703) (← links)
- No-arbitrage criteria for financial markets with transaction costs and incomplete information (Q2463713) (← links)
- Narrowing the no-arbitrage bounds (Q2468504) (← links)
- Risk-neutral valuation with infinitely many trading dates (Q2471590) (← links)
- Optimal asset--liability management with constraints: A dynamic programming approach (Q2489174) (← links)
- The fundamental theorem of asset pricing under default and collateral in finite discrete time (Q2492986) (← links)
- No arbitrage conditions and liquidity (Q2642001) (← links)
- Lower and upper pricing of financial assets (Q2671660) (← links)
