Discrete-time market models from the small investor point of view and the first fundamental-type theorem

DOI10.1515/aupcsm-2017-0002zbMath1390.91341OpenAlexW2735820540MaRDI QIDQ1698737

Anna Serwatka, Marek S. Karaś

Publication date: 16 February 2018

Published in: Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/aupcsm-2017-0002

zbMATH Keywords

market modelarbitrage opportunityarbitrage strategyarbitrege-free market

Mathematics Subject Classification ID

Cites Work

• Valuation before and after tax in the discrete time, finite state no arbitrage model
• 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
• Markets with transaction costs. Mathematical theory.
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Non-arbitrage criteria for financial markets with efficient friction
• Martingales and arbitage in securities markets with transaction costs
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

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