SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS

DOI10.1111/j.0960-1627.2004.00194.xzbMath1133.91378OpenAlexW3123285480MaRDI QIDQ4673846

Marco Frittelli

Publication date: 9 May 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00194.x

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (7)

Arbitrage in skew Brownian motion models ⋮ A unified framework for utility maximization problems: An Orlicz space approach ⋮ Market free lunch and large financial markets ⋮ A COMMENT ON MARKET FREE LUNCH AND FREE LUNCH ⋮ Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage ⋮ An Italian perspective on the development of financial mathematics from 1992 to 2008 ⋮ Market viability and martingale measures under partial information

Cites Work

• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• On the Existence of Minimax Martingale Measures
• Almost sure characterization of Martingales

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