WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

DOI10.1142/S0219024915500053zbMath1337.91160arXiv1302.7192MaRDI QIDQ5245890

Claudio Fontana

Publication date: 15 April 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.7192

zbMATH Keywords

continuous semimartingalearbitragearbitrage of the first kindmartingale deflatormarket price of riskfree lunch with vanishing riskbenchmark approach

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

Related Items (16)

Relative asset price bubbles ⋮ Arbitrage and utility maximization in market models with an insider ⋮ Valuation and Hedging of Contracts with Funding Costs and Collateralization ⋮ No arbitrage and multiplicative special semimartingales ⋮ The Black–Scholes equation in the presence of arbitrage ⋮ Arbitrage problems with reflected geometric Brownian motion ⋮ DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS ⋮ Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ On arbitrages arising with honest times ⋮ Pricing without no-arbitrage condition in discrete time ⋮ Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing ⋮ The value of informational arbitrage ⋮ On the existence of sure profits via flash strategies ⋮ Market Models with Optimal Arbitrage

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