Arbitrage and control problems in finance. A presentation (Q5939293): Difference between revisions

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+Martingale laws, densities and decomposition of Föllmer-Schweizer
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+Q4279441
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+Hedging of contingent claims and maximum price
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+Equilibrium without uniform conditions
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+Existence of an Equilibrium for a Competitive Economy
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Nonlinear taxation, tax-arbitrage and equilibrium asset prices
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+Wealth optimization in an incomplete market driven by a jump-diffusion process
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+The Pricing of Options and Corporate Liabilities
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+Investment and Arbitrage Opportunities with Short Sales Constraints
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+A discrete stochastic model for investment with an application to the transaction costs case
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+Equilibrium in a stochastic model with consumption, wages and investment
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+A variational problem arising in financial economics
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+An Intertemporal General Equilibrium Model of Asset Prices
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+Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
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+Optimal consumption choices for a `large' investor
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+Convex duality in constrained portfolio optimization
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Hedging options for a large investor and forward-backward SDE's
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+A closed-form solution to the problem of super-replication under transaction costs
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+Equivalent martingale measures and no-arbitrage in stochastic securities market models
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+General equilibrium in asset markets with or without short-selling
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+Portfolio Selection with Transaction Costs
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+The writing price of a European contingent claim under proportional transaction costs
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+European Option Pricing with Transaction Costs
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+Dual formulation of the utility maximization problem under transaction costs
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+REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
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+A general version of the fundamental theorem of asset pricing
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+Optimal investment strategies with bounded risks, general utilities, and goal achieving
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+Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
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+Multiperiod security markets with differential information
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+The Consumption-Based Capital Asset Pricing Model
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+Optimization of consumption with labor income
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+Q3985737
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+An Optimal Investment/Consumption Model with Borrowing
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+Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+A stochastic calculus model of continuous trading: Complete markets
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+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
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+Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case<sup>1</sup>
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+An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
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+Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
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+Q4357647
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+Martingales and arbitage in securities markets with transaction costs
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+ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
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+Viability and Equilibrium in Securities Markets with Frictions
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+Arbitrage and investment opportunities
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+Arbitrage and viability in securities markets with fixed trading costs
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+Hedging and liquidation under transaction costs in currency markets
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+Q4845592
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+Q4845604
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+The Harrison-Pliska arbitrage pricing theorem under transaction costs
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+Optimization Problems in the Theory of Continuous Trading
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+Q3760262
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Q4368791
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+Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Arbitrage and equilibrium in economies with infinitely many commodities
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+Limit theorem on option replication cost with transaction costs
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+Martingale Measures For A Class of Right‐Continuous Processes
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+The Price Equilibrium Existence Problem in Topological Vector Lattices
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+Optimum consumption and portfolio rules in a continuous-time model
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+Equivalent martingale measures and no-arbitrage
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+A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
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+A Counterexample to Several Problems In the Theory of Asset Pricing
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+MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
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+EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
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+Optimal investment and consumption with transaction costs
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+Arbitrage et lois de martingale. (Arbitrage and martingale laws)
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