Market Models with Optimal Arbitrage

DOI10.1137/140953666zbMath1398.91511arXiv1312.4979OpenAlexW2158922831MaRDI QIDQ5250038

Huy N. Chau, Peter Tankov

Publication date: 15 May 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4979

zbMATH Keywords

incomplete marketsoptimal arbitragestrict local martingalesno unbounded profits with bounded riskrobustness of arbitrage

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (6)

Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ Arbitrage and utility maximization in market models with an insider ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ On the existence of sure profits via flash strategies ⋮ Model-independent superhedging under portfolio constraints

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