scientific article; zbMATH DE number 1487969

zbMATH Open0969.91004MaRDI QIDQ4495098FDOQ4495098

Authors: Freddy Delbaen, Walter Schachermayer 

Publication date: 14 January 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

stochastic analysismoneymartingale theory

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Cited In (8)

• The arbitrage pricing theorem with non-expected utility preferences
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• Causality effects in return volatility measures with random times
• Quadratic hedging for asset derivatives with discrete stochastic dividends.
• The no-arbitrage pricing of non-traded assets
• How non-arbitrage, viability and numéraire portfolio are related
• Consistent price systems for subfiltrations

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