DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES (Q4916239): Difference between revisions

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scientific article; zbMATH DE number 6156057

Language	Label	Description	Also known as
English	DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES	scientific article; zbMATH DE number 6156057

Statements

instance of

scholarly article

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title

DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES (English)

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zbMATH Open document ID

1275.91128

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DOI

10.1142/S0219024913500027

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Rodrigo Marín Rodríguez

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published in

International Journal of Theoretical and Applied Finance

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publication date

22 April 2013

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full work available at URL

https://arxiv.org/abs/1205.4790

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Mathematics Subject Classification ID

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dynamic coherent acceptability index

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conic finance

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dynamic coherent risk measures

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transaction costs

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dividend paying securities

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swap contracts

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no-good-deal bounds

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fundamental theorems of asset pricing

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dynamic bid and ask

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dynamic gain-loss ratio

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arbitrage pricing

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illiquid market

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MaRDI profile type

MaRDI publication profile

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arXiv ID

1205.4790

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cites work

Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

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Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk

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Towards a General Theory of Good-Deal Bounds*

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Dynamic monetary risk measures for bounded discrete-time processes

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General Arbitrage Pricing Model: I – Probability Approach

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Pricing and hedging European options with discrete-time coherent risk

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MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE

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Equivalent martingale measures and no-arbitrage in stochastic securities market models

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A general version of the fundamental theorem of asset pricing

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The fundamental theorem of asset pricing for unbounded stochastic processes

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Martingales and stochastic integrals in the theory of continuous trading

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Martingales and arbitage in securities markets with transaction costs

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Coherent risk measures and good-deal bounds

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Local martingales and the fundamental asset pricing theorems in the discrete-time case

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Q4417321

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Non-arbitrage criteria for financial markets with efficient friction

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The Harrison-Pliska arbitrage pricing theorem under transaction costs

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Dynamic utility-based good deal bounds

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Conic coconuts: the pricing of contingent capital notes using conic finance

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Structured products equilibria in conic two price markets

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Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming

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Dynamic coherent risk measures

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COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS

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A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time

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The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

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Fundamental Theorems of Asset Pricing for Good Deal Bounds

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OpenAlex ID

W2154365972

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4916239

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+Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
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+Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
+Normal rank
@@ Property / cites work @@
+Towards a General Theory of Good-Deal Bounds*
@@ Property / cites work: Towards a General Theory of Good-Deal Bounds* / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic monetary risk measures for bounded discrete-time processes
+Normal rank
@@ Property / cites work @@
+General Arbitrage Pricing Model: I – Probability Approach
+Normal rank
@@ Property / cites work @@
+Pricing and hedging European options with discrete-time coherent risk
+Normal rank
@@ Property / cites work @@
+MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
+Normal rank
@@ Property / cites work @@
+Equivalent martingale measures and no-arbitrage in stochastic securities market models
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
+Normal rank
@@ Property / cites work @@
+Coherent risk measures and good-deal bounds
@@ Property / cites work: Coherent risk measures and good-deal bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Local martingales and the fundamental asset pricing theorems in the discrete-time case
+Normal rank
@@ Property / cites work @@
+Q4417321
@@ Property / cites work: Q4417321 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-arbitrage criteria for financial markets with efficient friction
+Normal rank
@@ Property / cites work @@
+The Harrison-Pliska arbitrage pricing theorem under transaction costs
+Normal rank
@@ Property / cites work @@
+Dynamic utility-based good deal bounds
@@ Property / cites work: Dynamic utility-based good deal bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Conic coconuts: the pricing of contingent capital notes using conic finance
+Normal rank
@@ Property / cites work @@
+Structured products equilibria in conic two price markets
+Normal rank
@@ Property / cites work @@
+Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
+Normal rank
@@ Property / cites work @@
+Dynamic coherent risk measures
@@ Property / cites work: Dynamic coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
+Normal rank
@@ Property / cites work @@
+A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ Property / cites work @@
+Fundamental Theorems of Asset Pricing for Good Deal Bounds
+Normal rank
@@ Property / OpenAlex ID @@
+W2154365972
@@ Property / OpenAlex ID: W2154365972 / rank @@
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