Illiquid financial market models and absence of arbitrage

DOI10.1007/s11857-009-0090-6zbMath1182.91217OpenAlexW2014508318MaRDI QIDQ2655603

Matthias P. Jüttner

Publication date: 25 January 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-009-0090-6

zbMATH Keywords

arbitragesemimartingaleliquidity effectsilliquid economy

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A general version of the fundamental theorem of asset pricing
• Liquidity risk and arbitrage pricing theory
• Market Volatility and Feedback Effects from Dynamic Hedging
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader

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