DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES

DOI10.1142/S0219024913500027zbMath1275.91128arXiv1205.4790MaRDI QIDQ4916239

Igor Cialenco, Ismail Iyigunler, Rodrigo Marín Rodríguez, Tomasz R. Bielecki

Publication date: 22 April 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4790

zbMATH Keywords

transaction costs; arbitrage pricing; illiquid market; fundamental theorems of asset pricing; conic finance; dynamic coherent risk measures; swap contracts; dynamic coherent acceptability index; dividend paying securities; dynamic bid and ask; dynamic gain-loss ratio; no-good-deal bounds

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS, CONIC CVA AND DVA FOR OPTION PORTFOLIOS, A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, Deep signature FBSDE algorithm, Dynamic quasi concave performance measures, Quantile hedging in a semi-static market with model uncertainty, Pricing American options by a Fourier transform multinomial tree in a conic market, Acceptability maximization, A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, CONIC PORTFOLIO THEORY, Dynamic Conic Finance via Backward Stochastic Difference Equations

Cites Work

• Unnamed Item
• Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
• Dynamic monetary risk measures for bounded discrete-time processes
• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Martingales and stochastic integrals in the theory of continuous trading
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Non-arbitrage criteria for financial markets with efficient friction
• Martingales and arbitage in securities markets with transaction costs
• Conic coconuts: the pricing of contingent capital notes using conic finance
• Structured products equilibria in conic two price markets
• Pricing and hedging European options with discrete-time coherent risk
• Dynamic coherent risk measures
• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Dynamic utility-based good deal bounds
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• General Arbitrage Pricing Model: I – Probability Approach
• Towards a General Theory of Good-Deal Bounds*
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
• Coherent risk measures and good-deal bounds
• The Harrison-Pliska arbitrage pricing theorem under transaction costs