No free lunch for markets with multiple numéraires

DOI10.1016/J.JMATECO.2022.102805OpenAlexW4312224483MaRDI QIDQ2686002FDOQ2686002

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

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zbMATH Keywords

martingale measureilliquiditysuperreplication priceno free lunchmulticurve modelmultiple numéraires

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
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• Convex duality in constrained portfolio optimization
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• A general HJM framework for multiple yield curve modelling
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Term-structure models. A graduate course
• Arbitrage and equilibrium in economies with infinitely many commodities
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Interest rate modeling: post-crisis challenges and approaches
• Term structure modelling for multiple curves with stochastic discontinuities
• Limits to arbitrage when market participation is restricted
• Title not available (Why is that?)

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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