Financial economics without probabilistic prior assumptions

DOI10.1007/S10203-014-0159-0zbMath1398.91613OpenAlexW2012206417MaRDI QIDQ2343120

Frank Riedel

Publication date: 4 May 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-014-0159-0

zbMATH Keywords

infinite-dimensional linear programmingfull support martingale measurefundamental theorem of asset pricingsuperhedgingprobability-free finance

Mathematics Subject Classification ID

Linear programming (90C05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Optimal payoffs for directionally closed acceptance sets ⋮ Robust pricing-hedging dualities in continuous time ⋮ Unnamed Item ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Complete and competitive financial markets in a complex world ⋮ Asset pricing in an imperfect world ⋮ Arbitrage-free modeling under Knightian uncertainty ⋮ Pathwise no-arbitrage in a class of delta hedging strategies ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Universal arbitrage aggregator in discrete-time markets under uncertainty ⋮ Consistent price systems under model uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• On stochastic calculus related to financial assets without semimartingales
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Dynamic spanning without probabilities
• A general version of the fundamental theorem of asset pricing
• Pricing by hedging and no-arbitrage beyond semimartingales
• Arbitrage and duality in nondominated discrete-time models
• Ambiguous volatility, possibility and utility in continuous time
• Introduction to stochastic calculus for finance. A new didactic approach.
• A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• A More Robust Definition of Subjective Probability
• Strictly Positive Functionals on Vector Lattices
• Strictly Positive Radon Measures
• Option pricing: A simplified approach
• Dual Spaces of Weighted Spaces
• Stochastic finance. An introduction in discrete time

This page was built for publication: Financial economics without probabilistic prior assumptions