No arbitrage conditions and liquidity

DOI10.1016/J.JMATECO.2006.10.005MaRDI QIDQ2642001zbMATH OpenOpenAlexFDO

Authors Fabian Astic, Nizar Touzi

Publication date 20 August 2007

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2006.10.005

zbMATH Keywords

transaction costshedgingseparation theoremsliquidityarbitrage theory

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 439380 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Hedging and liquidation under transaction costs in currency markets
• Hedging options for a large investor and forward-backward SDE's
• Liquidity risk and arbitrage pricing theory
• Market volatility and feedback effects from dynamic hedging
• Martingales and arbitage in securities markets with transaction costs
• Non-arbitrage criteria for financial markets with efficient friction
• On the closedness of sums of convex cones in L^0 and the robust no-arbitrage property
• Option pricing by large risk aversion utility under transaction costs
• The Feedback Effect of Hedging in Illiquid Markets
• 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

(12)

• Risk measures beyond frictionless markets
• No trade
• An infinite-dimensional model of liquidity in financial markets
• Liquidity risk and arbitrage pricing theory
• Hedging, arbitrage and optimality with superlinear frictions
• No arbitrage conditions for simple trading strategies
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Arbitrage and deflators in illiquid markets
• Liquidity-adjusted risk measures
• Note on no-arbitrage criteria
• Arbitrage theory for non convex financial market models
• Set-valued shortfall and divergence risk measures

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