The mathematics of arbitrage
From MaRDI portal
Publication:2493436
zbMath1106.91031MaRDI QIDQ2493436
Freddy Delbaen, Walter Schachermayer
Publication date: 13 June 2006
Published in: Springer Finance (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Actuarial science and mathematical finance (91Gxx)
Related Items (only showing first 100 items - show all)
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities ⋮ Fatou closedness under model uncertainty ⋮ Banach geometry of arbitrage free markets ⋮ A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Relative asset price bubbles ⋮ Monetary risk measures for stochastic processes via Orlicz duality ⋮ Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas ⋮ Equal risk pricing under convex trading constraints ⋮ Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\) ⋮ Banach geometry of financial market models ⋮ Hedging, Pareto optimality, and good deals ⋮ Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR ⋮ Arbitrage theory for non convex financial market models ⋮ Probabilistic aspects of finance ⋮ Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ A new formulation of asset trading games in continuous time with essential forcing of variation exponent ⋮ Stochastic programs without duality gaps ⋮ Option spanning beyond \(L_p\)-models ⋮ Geometric arbitrage theory and market dynamics ⋮ A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing ⋮ Convex compactness and its applications ⋮ Forward-backward systems for expected utility maximization ⋮ Put-call parity and market frictions ⋮ Dual representation of superhedging costs in illiquid markets ⋮ On admissible strategies in robust utility maximization ⋮ A limit order book model for latency arbitrage ⋮ A set optimization approach to utility maximization under transaction costs ⋮ 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 ⋮ Time-consistent mean-variance portfolio selection in discrete and continuous time ⋮ Diversity and arbitrage in a regulatory breakup model ⋮ Sticky processes, local and true martingales ⋮ On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes ⋮ On stochastic calculus related to financial assets without semimartingales ⋮ Optimal strategies under omega ratio ⋮ Insider models with finite utility in markets with jumps ⋮ Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension ⋮ A note on the condition of no unbounded profit with bounded risk ⋮ Continuous equilibrium in affine and information-based capital asset pricing models ⋮ Negative call prices ⋮ The super-replication theorem under proportional transaction costs revisited ⋮ Indirect inference in fractional short-term interest rate diffusions ⋮ Arbitrage and deflators in illiquid markets ⋮ Convex duality in optimal investment under illiquidity ⋮ No-arbitrage with multiple-priors in discrete time ⋮ No arbitrage conditions for simple trading strategies ⋮ The fundamental theorem of asset pricing for continuous processes under small transaction costs ⋮ Asymptotic arbitrage and large deviations ⋮ Pricing without no-arbitrage condition in discrete time ⋮ Robust arbitrage conditions for financial markets ⋮ On optimal investment with processes of long or negative memory ⋮ A characterization of martingale-equivalent mixed compound Poisson processes ⋮ Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} ⋮ Local martingales in discrete time ⋮ Utility maximization under a shortfall risk constraint ⋮ Existence, uniqueness and comparisons for BSDEs in general spaces ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Duality for pathwise superhedging in continuous time ⋮ The fundamental theorem of asset pricing under transaction costs ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Superreplication under model uncertainty in discrete time ⋮ FTAP in finite discrete time with transaction costs by utility maximization ⋮ Portfolio optimization under convex incentive schemes ⋮ Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models ⋮ Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions ⋮ A comparison of two no-arbitrage conditions ⋮ Densities for rough differential equations under Hörmander's condition ⋮ The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads ⋮ The Föllmer-Schweizer decomposition: comparison and description ⋮ Asset pricing theory for two price economies ⋮ In which financial markets do mutual fund theorems hold true? ⋮ Introduction to convex optimization in financial markets ⋮ Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ Pricing under dynamic risk measures ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Dynamic trading under integer constraints ⋮ Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market ⋮ On absolute continuity and singularity of multidimensional diffusions ⋮ Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets ⋮ Insider information and its relation with the arbitrage condition and the utility maximization problem ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Finitely additive equivalent martingale measures ⋮ Duality theory for robust utility maximisation ⋮ Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure ⋮ No-arbitrage concepts in topological vector lattices ⋮ On fairness of systemic risk measures ⋮ A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles ⋮ A unifying view on some problems in probability and statistics ⋮ Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics ⋮ Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk ⋮ Asymptotic exponential arbitrage in the Schwartz commodity futures model ⋮ Operator trigonometry of multivariate finance ⋮ A dual characterization of self-generation and exponential forward performances ⋮ Arbitrage and duality in nondominated discrete-time models ⋮ No arbitrage in a simple credit risk model ⋮ Hedging, arbitrage and optimality with superlinear frictions ⋮ Consistent price systems under model uncertainty
This page was built for publication: The mathematics of arbitrage
