No free lunch for markets with multiple numéraires

DOI10.1016/J.JMATECO.2022.102805MaRDI QIDQ2686002zbMATH OpenOpenAlexFDO

Authors Laurence Carassus

Publication date 24 February 2023

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

Full work available at URL https://arxiv.org/abs/2107.12885

zbMATH Keywords

martingale measureilliquiditysuperreplication priceno free lunchmulticurve modelmultiple numéraires

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 3669507 (Why is no real title available?)
• scientific article; zbMATH DE number 1321178 (Why is no real title available?)
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• Convex duality in constrained portfolio optimization
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Interest rate modeling: post-crisis challenges and approaches
• Limits to arbitrage when market participation is restricted
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Markets with transaction costs. Mathematical theory.
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Stochastic calculus for finance. II: Continuous-time models.
• Term structure modelling for multiple curves with stochastic discontinuities
• Term-structure models. A graduate course
• The mathematics of arbitrage
• The numéraire portfolio in semimartingale financial models

Cited in

(2)

• On arbitrage-free pricing in numeraire-free markets: with applications to forex and cryptocurrency
• Collective dynamic risk measures

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