Arbitrage theory (Q2771099)
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scientific article; zbMATH DE number 1705209
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage theory |
scientific article; zbMATH DE number 1705209 |
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22 September 2002
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convex analysis
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arbitrage
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financial markets
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continuous trading
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semimartingale
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asymptotic arbitrage
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contiguity
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0.9149343
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0.9108594
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0.9013621
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Arbitrage theory (English)
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This research paper is a significant synthesis concerning arbitrage theory and its applications. The author presents a pertinent classification of models for financial markets, being based on separation results of convex sets in (topological) linear (ordered) spaces and on the identification of the separating functional as a probaiblity measure: general (finite) probability spaces, discrete-time multiple-period models, continuous trading, large financial markets, models with transaction costs, multiple-step models with corresponding examples, results and comments, no-arbitrage criteria in continuous time with semimartingale models together with important results and remarks, large financial markets with their corresponding considerations and results, also on the asymptotic arbitrage and contiguity. Strong references support this research work.NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].
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