scientific article; zbMATH DE number 2053281

MaRDI QIDQ4454897zbMATHFDO

Authors Walter Schachermayer

Publication date 8 March 2004

zbMATH Keywords

Black-Scholes modelsemi-martingalesbinomial modelsno-arbitrage theorymodels of financial marketsBachelier's modelfundamental theory of asset pricing

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91Gxx)

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Cited in

(7)

• Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions
• Perturbation analysis for investment portfolios under partial information with expert opinions
• The mathematics of finance
• From Bachelier to Dupire via optimal transport
• No arbitrage without semimartingales
• Applications to mathematical finance
• Introduction to stochastic finance

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