Diffusion-Based Models for Financial Markets Without Martingale Measures

DOI10.1007/978-1-4471-4926-2_4zbMath1306.91125arXiv1209.4449MaRDI QIDQ2841948

Wolfgang J. Runggaldier, Claudio Fontana

Publication date: 30 July 2013

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.4449

zbMATH Keywords

hedging; arbitrage; market completeness; numéraire portfolio; martingale deflator; market price of risk; contingent claim valuation; benchmark approach; growth-optimal portfolio; utility indifference valuation

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

91G10: Portfolio theory

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