scientific article; zbMATH DE number 7606594

MaRDI QIDQ5044308zbMATH OpenFDO

Authors Emmanuel Lépinette

Publication date 25 October 2022

Full work available at URL https://gradmath.org/2020/10/05/a-short-introduction-to-arbitrage-theory-and-pricing-in-mathematical-finance-for-discrete-time-markets-with-or-without-frictions/

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

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Cites work

• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
• A super-replication theorem in Kabanov's model of transaction costs
• Arbitrage and equilibrium in economies with infinitely many commodities
• Arbitrage and hedging in model-independent markets with frictions
• Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
• Arbitrage theory for non convex financial market models
• Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
• Convex duality in stochastic optimization and mathematical finance
• Equivalent martingale measures and no-arbitrage
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• General Arbitrage Pricing Model: II – Transaction Costs
• General financial market model defined by a liquidation value process
• Hedging of American options under transaction costs
• scientific article; zbMATH DE number 5641890 (Why is no real title available?)
• Markets with transaction costs. Mathematical theory.
• Martingale selection problem and asset pricing in finite discrete time
• Martingales and arbitage in securities markets with transaction costs
• Martingales and stochastic integrals in the theory of continuous trading
• On low dimensional case in the fundamental asset pricing theorem with transaction costs
• Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs
• Small transaction costs, absence of arbitrage and consistent price systems
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The fundamental theorem of asset pricing under transaction costs
• The mathematics of arbitrage

Cited in

(2)

• Arbitrage and hedging in model-independent markets with frictions
• Pointwise Arbitrage Pricing Theory in Discrete Time

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