NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

DOI10.1111/J.1467-9965.2006.00283.XzbMATH Open1133.91421OpenAlexW2103254903MaRDI QIDQ5455263FDOQ5455263

Authors: Paolo Guasoni 

Publication date: 3 April 2008

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00283.x

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• scientific article; zbMATH DE number 5220411

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

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Cited In (82)

• Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios
• Implicit transaction costs and the fundamental theorems of asset pricing
• Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
• Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
• Shortfall risk minimization under fixed transaction costs
• How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
• Option pricing models without probability: a rough paths approach
• Generating sample paths and their convergence of the geometric fractional Brownian motion
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• On Estimation of Hurst Parameter Under Noisy Observations
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• Semimartingale price systems in models with transaction costs beyond efficient friction
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• On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
• On the conditional small ball property of multivariate Lévy-driven moving average processes
• Utility maximization problem with transaction costs: optimal dual processes and stability
• Maximum likelihood estimators of a long-memory process from discrete observations
• Fractional term structure models: No-arbitrage and consistency
• Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Sticky processes, local and true martingales
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
• Duality theory for portfolio optimisation under transaction costs
• Integrability and tail estimates for Gaussian rough differential equations
• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
• Conditional full support for fractional Brownian motion
• Sticky Continuous Processes have Consistent Price Systems
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• Goodness of fit assessment for a fractal model of stock markets
• Pricing by hedging and no-arbitrage beyond semimartingales
• Modelling NASDAQ series by sparse multifractional Brownian motion
• On inference for fractional differential equations
• Shadow prices for continuous processes
• Shadow price approximation for the fractional Black Scholes model
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Non-degeneracy of Wiener functionals arising from rough differential equations
• Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
• Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
• Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise
• Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
• On data depth in infinite dimensional spaces
• Remarks on simple arbitrage on markets with bid and ask prices
• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
• On the stickiness property

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