M6—On Minimal Market Models and Minimal Martingale Measures

DOI10.1007/978-3-642-03479-4_3MaRDI QIDQ3000875zbMATH OpenOpenAlexFDO

Authors Hardy Hulley, Martin Schweizer

Publication date 31 May 2011

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

Full work available at URL https://doi.org/10.1007/978-3-642-03479-4_3

zbMATH Keywords

growth-optimal portfoliominimal market modelno arbitrageno free lunch with vanishing riskno unbounded profit with bounded risknumeraire portfoliosquared Bessel process of dimension 4structure condition

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cited in

(30)

• Financial markets with a large trader
• Sensitivity analysis of the utility maximisation problem with respect to model perturbations
• Polynomial processes in stochastic portfolio theory
• Log-optimal and numéraire portfolios for market models stopped at a random time
• Polynomial diffusion models for life insurance liabilities
• No-arbitrage up to random horizon for quasi-left-continuous models
• Local risk-minimization under the benchmark approach
• Pricing and valuation under the real-world measure
• On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
• Locally -integrable -martingale densities for general semimartingales
• Diffusion-based models for financial markets without martingale measures
• Pricing of unemployment insurance products with doubly stochastic Markov chains
• On the existence of martingale measures in jump diffusion market models
• NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
• On arbitrages arising with honest times
• A note on the condition of no unbounded profit with bounded risk
• Stability of the indirect utility process
• Extended reduced-form framework for non-life insurance
• Weak and strong no-arbitrage conditions for continuous financial markets
• A tractable model for indices approximating the growth optimal portfolio
• Evaluating hybrid products: the interplay between financial and insurance markets
• No arbitrage and multiplicative special semimartingales
• Model‐free portfolio theory: A rough path approach
• The Black–Scholes equation in the presence of arbitrage
• Mean field game of mutual holding with common noise
• Signature methods in stochastic portfolio theory
• Criteria for the absence of arbitrage in one-dimensional general diffusion markets
• Stock market index dynamics and market activity
• A benchmark approach to risk-minimization under partial information
• How non-arbitrage, viability and numéraire portfolio are related

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