Arbitrage theory

MaRDI QIDQ2771099zbMATH OpenFDO

Authors Yuri Kabanov

Publication date 22 September 2002

zbMATH Keywords

arbitrageasymptotic arbitragecontiguitycontinuous tradingconvex analysisfinancial marketssemimartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24)

Review text

This research paper is a significant synthesis concerning arbitrage theory and its applications. The author presents a pertinent classification of models for financial markets, being based on separation results of convex sets in (topological) linear (ordered) spaces and on the identification of the separating functional as a probaiblity measure: general (finite) probability spaces, discrete-time multiple-period models, continuous trading, large financial markets, models with transaction costs, multiple-step models with corresponding examples, results and comments, no-arbitrage criteria in continuous time with semimartingale models together with important results and remarks, large financial markets with their corresponding considerations and results, also on the asymptotic arbitrage and contiguity. Strong references support this research work.NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].

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Cited in

(10)

• Arbitrage theory. Introductory lectures on arbitrage-based financial asset pricing
• Arbitrage pricing theory and risk-neutral measures
• Arbitrage approximation theory
• Hedging of American options under transaction costs
• Arbitrage Values Generally Depend On A Parametric Rate of Return
• Arbitrage Theory in Continuous Time
• Arbitrage Theory in Continuous Time
• Arbitrage and investment opportunities
• Asset pricing and hedging in financial markets with fixed and proportional transaction costs
• Asymptotic arbitrage and numéraire portfolios in large financial markets

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