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

arbitrage opportunitycontinuum of statesexogenous collateralincomplete market

Mathematics Subject Classification ID

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

Review text

In this work, the authors provide a general framework to the proving of the fundamental theorem of asset pricing so that they can deal with the problem of pricing defaultable securities backed by exogenous collateral where the uncertainty is modelled by a finite event-tree. The methodology used in this paper follows \textit{W. Schachermayer} [Insur. Math. Econ. 11, No. 4, 249--257 (1992; Zbl 0781.90010)]. But the proof of the crucial result on no arbitrage condition does not use the technique of convex combinations that was used by Schachermayer.

Recommendations

• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• The two fundamental theorems of asset pricing for a class of continuous-time financial markets
• A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
• The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• A fundamental theorem of asset pricing in continuous time with square integrable portfolios
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• Fundamental theorem of asset pricing with acceptable risk in markets with frictions

Cites work

• 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
• scientific article; zbMATH DE number 1619455 (Why is no real title available?)
• scientific article; zbMATH DE number 3669507 (Why is no real title available?)
• 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)

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

This page was built for publication: The fundamental theorem of asset pricing under default and collateral in finite discrete time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2492986)