Arbitrage and deflators in illiquid markets

DOI10.1007/s00780-009-0118-8zbMath1303.91080arXiv0807.2526OpenAlexW3103585941MaRDI QIDQ483698

Teemu Pennanen

Publication date: 17 December 2014

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

Full work available at URL: https://arxiv.org/abs/0807.2526

zbMATH Keywords

arbitrageportfolio constraintsilliquidityclaim processesdeflators

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Convex sets in topological vector spaces (aspects of convex geometry) (52A07)

Related Items (15)

NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Stochastic programs without duality gaps ⋮ Dual representation of superhedging costs in illiquid markets ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS ⋮ Convex duality in optimal investment under illiquidity ⋮ SUPERHEDGING IN ILLIQUID MARKETS ⋮ Asset pricing in an imperfect world ⋮ NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Introduction to convex optimization in financial markets ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Duality and optimality conditions in stochastic optimization and mathematical finance ⋮ Reduced form modeling of limit order markets ⋮ Hedging, arbitrage and optimality with superlinear frictions

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