scientific article; zbMATH DE number 2053281

MaRDI QIDQ4454897zbMATH OpenFDO

Authors Walter Schachermayer

Publication date 8 March 2004

zbMATH Keywords

Bachelier's modelbinomial modelsBlack-Scholes modelfundamental theory of asset pricingmodels of financial marketsno-arbitrage theorysemi-martingales

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)

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

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