Diffusion-Based Models for Financial Markets Without Martingale Measures

DOI10.1007/978-1-4471-4926-2_4zbMath1306.91125arXiv1209.4449OpenAlexW3124270372MaRDI QIDQ2841948

Wolfgang J. Runggaldier, Claudio Fontana

Publication date: 30 July 2013

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.4449

zbMATH Keywords

hedgingarbitragemarket completenessnuméraire portfoliomartingale deflatormarket price of riskcontingent claim valuationbenchmark approachgrowth-optimal portfolioutility indifference valuation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Related Items (13)

No arbitrage and multiplicative special semimartingales ⋮ A stochastic control perspective on term structure models with roll-over risk ⋮ The Black–Scholes equation in the presence of arbitrage ⋮ Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ A tractable model for indices approximating the growth optimal portfolio ⋮ Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ Portfolio optimization in a defaultable Lévy-driven market model ⋮ Information, no-arbitrage and completeness for asset price models with a change point ⋮ A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing ⋮ On the construction of optimal payoffs ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ Market viability and martingale measures under partial information

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