No arbitrage and multiplicative special semimartingales
From MaRDI portal
Publication:6068851
DOI10.1017/apr.2022.62zbMath1530.91536arXiv2005.05575OpenAlexW3214731293MaRDI QIDQ6068851
Publication date: 15 December 2023
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.05575
short ratefundamental theorem of asset pricingmarket price of riskself-financing portfoliono-arbitrage conceptmarket without a numéraire
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- Stochastic finance. An introduction in discrete time.
- No arbitrage of the first kind and local martingale numéraires
- On arbitrages arising with honest times
- A note on the condition of no unbounded profit with bounded risk
- Market viability via absence of arbitrage of the first kind
- On the semimartingale property of discounted asset-price processes
- The existence of dominating local martingale measures
- A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
- Arbitrage et lois de martingale. (Arbitrage and martingale laws)
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Option hedging for semimartingales
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Hedging of contingent claims and maximum price
- A general version of the fundamental theorem of asset pricing
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Local martingales, arbitrage, and viability. Free snacks and cheap thrills
- No-arbitrage under a class of honest times
- Continuous-time asset pricing theory. A martingale-based approach
- Properly discounted asset prices are semimartingales
- No-arbitrage concepts in topological vector lattices
- Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
- No arbitrage in continuous financial markets
- Supermartingale deflators in the absence of a numéraire
- No-arbitrage under additional information for thin semimartingale models
- The numéraire portfolio in semimartingale financial models
- The mathematics of arbitrage
- A benchmark approach to quantitative finance
- ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS
- Diffusion-Based Models for Financial Markets Without Martingale Measures
- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
- M6—On Minimal Market Models and Minimal Martingale Measures
- Enlargement of Filtration with Finance in View
- No-arbitrage Conditions and Absolutely Continuous Changes of Measure
- On the Existence of Martingale Measures in Jump Diffusion Market Models
- No Arbitrage and the Growth Optimal Portfolio
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- No Arbitrage and General Semimartingales
- On the existence and characterization of arbitrage–free measure in contingent claim valuation
- MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
- DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS
- Arbitrage in continuous complete markets
- Semi‐efficient valuations and put‐call parity
- Portfolio Theory and Arbitrage
- Large Financial Markets, Discounting, and No Asymptotic Arbitrage
- DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH
- WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS
- BENCHMARKED RISK MINIMIZATION
- APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES
- Implied savings accounts are unique
This page was built for publication: No arbitrage and multiplicative special semimartingales
