The fundamental theorem of asset pricing under default and collateral in finite discrete time

DOI10.1016/J.JMAA.2005.06.084zbMATH Open1107.91043OpenAlexW2054977678MaRDI QIDQ2492986FDOQ2492986

Authors: Jaime Orrillo, Borys Alvarez-Samaniego 

Publication date: 9 June 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.06.084

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zbMATH Keywords

incomplete marketarbitrage opportunitycontinuum of statesexogenous collateral

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Cites Work

• 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
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• Endogenous collateral
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• Equivalent martingale measures and no-arbitrage
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (3)

• Default and exogenous collateral in incomplete markets with a continuum of states
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions

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