scientific article; zbMATH DE number 1487969

MaRDI QIDQ4495098zbMATH OpenFDO

Authors Freddy Delbaen, Walter Schachermayer

Publication date 14 January 2001

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)

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• 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
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