A Systematic Approach to Constructing Market Models with Arbitrage

DOI10.1142/9789814602075_0002MaRDI QIDQ3195060zbMATH OpenOpenAlexFDO

Authors Johannes Ruf, Wolfgang J. Runggaldier

Publication date 21 October 2015

Published in Arbitrage, Credit and Informational Risks (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.1988

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Abstract: This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.

Cited in

(11)

• Arbitrage and utility maximization in market models with an insider
• Diverse market models of competing Brownian particles with splits and mergers
• scientific article; zbMATH DE number 1867107 (Why is no real title available?)
• Arbitrage and pricing in a general model with flows
• Insiders and Their Free Lunches: The Role of Short Positions
• Strict local martingales via filtration enlargement
• Weak and strong no-arbitrage conditions for continuous financial markets
• Market Models with Optimal Arbitrage
• General Arbitrage Pricing Model: I – Probability Approach
• General Arbitrage Pricing Model: III – Possibility Approach
• Supermartingales as Radon-Nikodym densities and related measure extensions

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