A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing

DOI10.1080/17442508.2014.895358zbMath1337.91153arXiv1311.7027OpenAlexW2071244694MaRDI QIDQ2811116

Claudio Fontana

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.7027

zbMATH Keywords

arbitragecomplete marketfundamental theorem of asset pricingmartingale deflatorItô-processequivalent local martingale measure

Mathematics Subject Classification ID

Cites Work

• Mathematical methods for financial markets.
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• A necessary and sufficient condition for absence of arbitrage with tame portfolios
• Diffusion-Based Models for Financial Markets Without Martingale Measures
• THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS-TIME FINANCIAL MARKETS
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• The Economic Plausibility of Strict Local Martingales in Financial Modelling
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
• WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

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