Martingales and arbitage in securities markets with transaction costs

DOI10.1006/JETH.1995.1037zbMATH Open0830.90020OpenAlexW2060302284MaRDI QIDQ1897315FDOQ1897315

Authors: Elyès Jouini, Hédi Kallal 

Publication date: 27 August 1995

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jeth.1995.1037

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zbMATH Keywords

linear pricing rulesabsence of arbitrage in dynamic securities markets

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

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• Utility maximization in markets with bid-ask spreads
• Asset pricing in an imperfect world
• Utility maximization problem with transaction costs: optimal dual processes and stability
• Put-call parity and generalized neo-additive pricing rules
• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• Minimax strategies and duality with applications in financial mathematics
• Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
• Stochastic measures of arbitrage.
• On infinite-horizon minimum-cost hedging under cone constraints
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• Sticky Continuous Processes have Consistent Price Systems
• Trading with small nonlinear price impact
• Submodular financial markets with frictions
• Computation of arbitrage in frictional bond markets
• A complement to the Grigoriev theorem for the Kabanov model
• Choquet pricing and equilibrium.
• Updating pricing rules
• Market consistent valuations with financial imperfection
• The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.
• Discrete-time market models from the small investor point of view and the first fundamental-type theorem
• Game options with gradual exercise and cancellation under proportional transaction costs
• Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
• Existence of a Radner equilibrium in a model with transaction costs
• Dynamic bid-ask pricing under Dempster-Shafer uncertainty
• Time consistency for scalar multivariate risk measures
• Von Neumann–Gale model, market frictions and capital growth
• No-arbitrage criteria for financial markets with transaction costs and incomplete information
• Continuous-time duality for superreplication with transient price impact
• Financial market structures revealed by pricing rules: efficient complete markets are prevalent
• Numeraire portfolios and utility-based price systems under proportional transaction costs
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• The fundamental theorem of asset pricing under default and collateral in finite discrete time
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• European option pricing with market frictions, regime switches and model uncertainty
• A new portfolio rebalancing model with transaction costs
• Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
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• Shortfall risk minimization under fixed transaction costs
• Conic asset pricing and the costs of price fluctuations
• Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
• Risk-neutral valuation with infinitely many trading dates
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative
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• Pareto efficient buy and hold investment strategies under order book linked constraints
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• Robust martingale selection problem and its connections to the no-arbitrage theory
• Estimation of ask and bid prices for geometric Asian options
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• Weakly time consistent concave valuations and their dual representations
• Testing affine term structure models in case of transaction costs
• Optimal investment and contingent claim valuation in illiquid markets
• Exact Superreplication Strategies for a Class of Derivative Assets
• Portfolio Choice with Transaction Costs: A User’s Guide
• Pricing rules and Arrow-Debreu ambiguous valuation
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
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