M6—On Minimal Market Models and Minimal Martingale Measures

DOI10.1007/978-3-642-03479-4_3zbMATH Open1229.91376OpenAlexW2117929493MaRDI QIDQ3000875FDOQ3000875

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

no free lunch with vanishing riskno arbitragestructure conditionno unbounded profit with bounded risknumeraire portfoliominimal market modelgrowth-optimal portfoliosquared Bessel process of dimension 4

Mathematics Subject Classification ID

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

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Cited in

(26)

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

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