TRAJECTORY-BASED MODELS, ARBITRAGE AND CONTINUITY

DOI10.1142/S0219024916500151zbMath1348.91246arXiv1403.5685OpenAlexW2134389094MaRDI QIDQ2806359

Alexander Alvarez, Sebastian E. Ferrando

Publication date: 17 May 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.5685

zbMATH Keywords

free lunch with vanishing risklocal continuitynonsemimartingale processestrajectory-based models and stopping times

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items (3)

Unnamed Item ⋮ On statistical indistinguishability of complete and incomplete discrete time market models ⋮ Unnamed Item

Cites Work

• Change of variable formulas for non-anticipative functionals on path space
• A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
• Financial Modelling with Jump Processes
• Stochastic Integrals and Conditional Full Support
• Fractional Processes as Models in Stochastic Finance
• Unnamed Item

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