Benchmarking in two price financial markets (Q315468)

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Language	Label	Description	Also known as
English	Benchmarking in two price financial markets	scientific article

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scholarly article

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Benchmarking in two price financial markets (English)

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zbMATH Open document ID

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10.1007/s10436-016-0278-4

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Annals of Finance

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publication date

21 September 2016

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

acceptable risks

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nonlinear expectations

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nonadditive probability

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distorted expectation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10436-016-0278-4

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Coherent Measures of Risk

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Dynamic risk measures: Time consistency and risk measures from BMO martingales

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Time consistent dynamic risk processes

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Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk

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Dynamic monetary risk measures for bounded discrete-time processes

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A New Fusion Procedure for the Brauer Algebra and Evaluation Homomorphisms

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MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE

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Theory of capacities

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A general theory of finite state backward stochastic difference equations

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A general version of the fundamental theorem of asset pricing

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Bid and ask prices as non-linear continuous time G-expectations based on distortions

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Two price economies in continuous time

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Backward Stochastic Differential Equations in Finance

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Maxmin expected utility with non-unique prior

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The fundamental theorem of asset pricing under 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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VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

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Martingales and arbitage in securities markets with transaction costs

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Markets with transaction costs. Mathematical theory.

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The Harrison-Pliska arbitrage pricing theorem under transaction costs

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Asset pricing theory for two price economies

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On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation

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Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver

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CONIC TRADING IN A MARKOVIAN STEADY STATE

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TENOR SPECIFIC PRICING

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MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING

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The Dual Theory of Choice under Risk

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The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

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Dynamic coherent risk measures

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Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account

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Mathematics(1 entry)

mardi Publication:315468

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