scientific article; zbMATH DE number 796446
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Publication:4845604
zbMATH Open0834.90018MaRDI QIDQ4845604FDOQ4845604
Publication date: 20 February 1996
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Cited In (46)
- Arbitrage and the flattening effect of large numbers
- Strong asymptotic arbitrage in the large fractional binary market
- Market Models with Optimal Arbitrage
- From small markets to big markets
- Asymptotic arbitrage in large financial markets with friction
- Arbitrage and state price deflators in a general intertemporal framework
- Asymptotic arbitrage and large deviations
- The Black–Scholes equation in the presence of arbitrage
- INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS
- Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
- Super-replication and utility maximization in large financial markets
- Asymptotic arbitrage and numéraire portfolios in large financial markets
- Asymptotic pricing in large financial markets
- A law of large numbers approach to valuation in life insurance
- Maximizing expected utility in the arbitrage pricing model
- Market viability via absence of arbitrage of the first kind
- No arbitrage of the first kind and local martingale numéraires
- Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
- Free lunch large financial markets with continuous price processes
- UTILITY MAXIMIZATION IN A LARGE MARKET
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Asymptotic arbitrage with small transaction costs
- Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models
- Hedging, arbitrage and optimality with superlinear frictions
- A Fundamental Theorem of Asset Pricing for Continuous Time Large Financial Markets in a Two Filtration Setting
- A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
- Arbitrage and utility maximization in market models with an insider
- Arbitrage theory in a market of stochastic dimension
- Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
- Robust asymptotic insurance-finance arbitrage
- Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
- On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes
- On utility maximization without passing by the dual problem
- Arbitrage and control problems in finance. A presentation
- Large Financial Markets, Discounting, and No Asymptotic Arbitrage
- Pricing of contingent claims in large markets
- No Arbitrage Theory for Bond Markets
- Market free lunch and large financial markets
- Asymptotic asset pricing and bubbles
- A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets
- Universal strategies for diffusion markets and possibility of asymptotic arbitrage
- Special issue: Arbitrage and control problems in finance
- Yield Curve Smoothing and Residual Variance of Fixed Income Positions
- Exponentially concave functions and high dimensional stochastic portfolio theory
- Risk-neutral pricing for arbitrage pricing theory
- Arbitrage in stationary markets
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