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

DOI10.1016/J.JMAA.2005.06.084MaRDI QIDQ2492986zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1619455 (Why is no real title available?)
• scientific article; zbMATH DE number 3669507 (Why is no real title available?)
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• Endogenous collateral
• Equivalent martingale measures and no-arbitrage
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Martingales and arbitage in securities markets with transaction costs
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

Cited in

(3)

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

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