Geometric arbitrage theory and market dynamics

DOI10.3934/jgm.2015.7.431zbMath1335.91119arXiv0910.1671OpenAlexW3125186146MaRDI QIDQ888763

Simone Farinelli

Publication date: 2 November 2015

Published in: Journal of Geometric Mechanics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.1671

zbMATH Keywords

arbitrage pricingstochastic differential geometrygeometric arbitrage theory

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Diffusion processes and stochastic analysis on manifolds (58J65) Actuarial science and mathematical finance (91G99)

Related Items (4)

Cohomology theory for financial time series ⋮ Nonequilibrium geometric no-arbitrage principle and asset pricing theorem ⋮ The Black–Scholes equation in the presence of arbitrage ⋮ A non-equilibrium geometric no-arbitrage principle

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