Structural stability threshold for the condition of robust no deterministic sure arbitrage with unbounded profit

DOI10.3103/S0278641921010064zbMath1467.91179OpenAlexW3158753090MaRDI QIDQ2038508

Sergey N. Smirnov

Publication date: 7 July 2021

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0278641921010064

zbMATH Keywords

trading constraintsdeterministic market dynamicsmodel's structural stabilityprice movement uncertaintyunbounded arbitrage with unlimited profit

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

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• Differential inclusions with unbounded right-hand side and necessary optimality conditions
• On the addition of convex sets in the hyperbolic plane
• Geometric criterion for a robust condition of no sure arbitrage with unlimited profit
• Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach
• Guaranteed deterministic approach to superhedging: properties of binary European option
• Convex Analysis

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