Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension

DOI10.1007/S00780-014-0230-2zbMATH Open1314.60090arXiv1112.5340OpenAlexW3124866120MaRDI QIDQ457178FDOQ457178

Authors: Winslow Strong 

Publication date: 26 September 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Abstract: The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartingale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The properties of the former carry over largely intact to the latter, avoiding some of the pitfalls of infinite-dimensional stochastic integration. Second is to extend two fundamental theorems of asset pricing (FTAPs): the equivalence of no free lunch with vanishing risk to the existence of an equivalent sigma-martingale measure for the price process, and the equivalence of no arbitrage of the first kind to the existence of an equivalent local martingale deflator for the set of nonnegative wealth processes.

Full work available at URL: https://arxiv.org/abs/1112.5340

Recommendations

• The fundamental theorem of asset pricing for unbounded stochastic processes
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• A general version of the fundamental theorem of asset pricing
• The two fundamental theorems of asset pricing for a class of continuous-time financial markets
• scientific article; zbMATH DE number 1222798

zbMATH Keywords

semimartingalesasset pricingstochastic integrationstochastic dimension

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Asymptotic arbitrage in large financial markets
• A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
• Title not available (Why is that?)
• Title not available (Why is that?)
• Hedging of contingent claims and maximum price
• The mathematics of arbitrage
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Hedging under arbitrage
• The numéraire portfolio in semimartingale financial models
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• A note on the condition of no unbounded profit with bounded risk
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Stochastic finance. An introduction in discrete time
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Title not available (Why is that?)
• Market viability via absence of arbitrage of the first kind
• Title not available (Why is that?)
• Diversity and relative arbitrage in equity markets
• Generalizations of functionally generated portfolios with applications to statistical arbitrage
• Stochastic Portfolio Theory: an Overview
• Title not available (Why is that?)
• Diversity and arbitrage in a regulatory breakup model
• A benchmark approach to quantitative finance
• Towards a general theory of bond markets
• Super-replication and utility maximization in large financial markets
• Title not available (Why is that?)
• Espaces de semi martingales et changement de probabilit�
• Infinitely many securities and the fundamental theorem of asset pricing
• A fundamental theorem of asset pricing for large financial markets.
• Title not available (Why is that?)
• Stochastic integration with respect to a sequence of semimartingales

Cited In (11)

• The two fundamental theorems of asset pricing for a class of continuous-time financial markets
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Trading strategies generated pathwise by functions of market weights
• Diverse market models of competing Brownian particles with splits and mergers
• UTILITY MAXIMIZATION IN A LARGE MARKET
• A càdlàg rough path foundation for robust finance
• On stochastic calculus related to financial assets without semimartingales
• Arbitrage theory in a market of stochastic dimension
• Quantifying dimensional change in stochastic portfolio theory
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

This page was built for publication: Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q457178)