Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

DOI10.1007/978-3-642-03479-4_2MaRDI QIDQ3000874zbMATHOpenAlexFDO

Authors Constantinos Kardaras

Publication date 31 May 2011

Published in Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.5503

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Abstract: This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the spirit of the Fundamental Theorem of Asset Pricing (FTAP), it is shown here that absence of arbitrages of the first kind in the market is equivalent to the existence of a finitely additive probability, weakly equivalent to the original and only locally countably additive, under which the discounted wealth processes become "local martingales". The aforementioned result is then used to obtain an independent proof of the FTAP of Delbaen and Schachermayer. Finally, an elementary and short treatment of the previous discussion is presented for the case of continuous-path semimartingale asset-price processes.

Recommendations

• Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• On the fundamental theorem of asset pricing with an infinite state space
• Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The fundamental theorem of asset pricing under default and collateral in finite discrete time
• Infinitely many securities and the fundamental theorem of asset pricing
• The two fundamental theorems of asset pricing for a class of continuous-time financial markets
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria

Cited in

(43)

• No arbitrage in continuous financial markets
• A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
• Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
• Reduced-form setting under model uncertainty with non-linear affine intensities
• Arbitrage of the first kind and filtration enlargements in semimartingale financial models
• A tractable model for indices approximating the growth optimal portfolio
• Market viability via absence of arbitrage of the first kind
• Generalized supermartingale deflators under limited information
• scientific article; zbMATH DE number 6954076 (Why is no real title available?)
• Finitely additive FTAP under an atomic reference measure
• Optimal investment with intermediate consumption under no unbounded profit with bounded risk
• Drift operator in a viable expansion of information flow
• No-arbitrage in a numéraire-independent modeling framework
• A time before which insiders would not undertake risk
• On the fundamental theorem of asset pricing with an infinite state space
• Expansion of a filtration with a stochastic process: the information drift
• No-arbitrage concepts in topological vector lattices
• The fundamental theorem of asset pricing under default and collateral in finite discrete time
• THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
• Information, no-arbitrage and completeness for asset price models with a change point
• Properly discounted asset prices are semimartingales
• The fundamental theorem of asset pricing for unbounded stochastic processes
• On arbitrages arising with honest times
• ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
• The existence of dominating local martingale measures
• Filtration shrinkage, the structure of deflators, and failure of market completeness
• A note on the condition of no unbounded profit with bounded risk
• On the stochastic behaviour of optional processes up to random times
• Additive subordination and its applications in finance
• The fundamental theorems of prevision and asset pricing
• Diffusion-based models for financial markets without martingale measures
• No arbitrage and multiplicative special semimartingales
• Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
• No arbitrage of the first kind and local martingale numéraires
• Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities
• Change of measure up to a random time: details
• Infinitely many securities and the fundamental theorem of asset pricing
• Two versions of the fundamental theorem of asset pricing
• Supermartingales as Radon-Nikodym densities and related measure extensions
• Weak and strong no-arbitrage conditions for continuous financial markets
• Arbitrage concepts under trading restrictions in discrete-time financial markets
• Optimal consumption of multiple goods in incomplete markets
• Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR

This page was built for publication: Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3000874)