A Systematic Approach to Constructing Market Models with Arbitrage
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Publication:3195060
DOI10.1142/9789814602075_0002zbMath1325.91064arXiv1309.1988OpenAlexW3122145135MaRDI QIDQ3195060
Wolfgang J. Runggaldier, Johannes Ruf
Publication date: 21 October 2015
Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.1988
Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)
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Diverse market models of competing Brownian particles with splits and mergers ⋮ Arbitrage and utility maximization in market models with an insider ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ Market Models with Optimal Arbitrage
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