Applications to mathematical finance

MaRDI QIDQ2760175zbMATH OpenFDO

Authors Freddy Delbaen, Walter Schachermayer

Publication date 29 June 2003

zbMATH Keywords

arbitrageasset pricingBanach space theorychange of numerairemathematical financestochastic integral

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Martingales and classical analysis (60G46)

Review text

Some basic ideas of mathematical finance, such as the notions of ``no arbitrage and ``equivalent martingale measures are formalized and then used to develop further themes of this domain. The exposition is centered on those issues where Banach space theory plays an important role. For the entire collection see [Zbl 0970.46001].

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Cited in

(17)

• Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
• F for finance. From classical financial mathematics to portfolio theory and new financial products
• Banach geometry of financial market models
• Risk-neutral valuation with infinitely many trading dates
• Arbitrage theory with state-price deflators
• Additive subordination and its applications in finance
• The Notion of Arbitrage and Free Lunch in Mathematical Finance
• Le equazioni funzionali nei fondamenti della matematica finanziaria
• scientific article; zbMATH DE number 1163406 (Why is no real title available?)
• CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”
• An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
• Reproducing kernel Hilbert space based on special integrable semimartingales and stochastic integration
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• The Banach space of workable contingent claims in arbitrage theory
• Pathwise stochastic integrals for model free finance
• Banach geometry of arbitrage free markets
• Relevant coherent measures of risk

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