Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
From MaRDI portal
Publication:5459529
Recommendations
- Mean-reverting discrete time market models: speculative opportunities and absence of arbitrage
- On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
- scientific article; zbMATH DE number 1069535
- No arbitrage condition for positive diffusion price processes
- Discrete-time market models from the small investor point of view and the first fundamental-type theorem
Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1478492 (Why is no real title available?)
- scientific article; zbMATH DE number 3240796 (Why is no real title available?)
- A COMMENT ON MARKET FREE LUNCH AND FREE LUNCH
- A bounded risk strategy for a market with non-observable parameters.
- Arbitrage and equilibrium in economies with infinitely many commodities
- Asymptotic arbitrage in large financial markets
- Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
- Martingales and arbitage in securities markets with transaction costs
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Multiperiod security markets with differential information
- Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter
- Optimal trading strategy for an investor: the case of partial information
- SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS
- Universal Portfolios
- Universal strategies for diffusion markets and possibility of asymptotic arbitrage
- Utility maximization with partial information
Cited in
(6)- Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
- Speculative trading in mean reverting markets
- Mean-reverting discrete time market models: speculative opportunities and absence of arbitrage
- Asymptotic exponential arbitrage in the Schwartz commodity futures model
- On long-term arbitrage opportunities in Markovian models of financial markets
- On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
This page was built for publication: Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5459529)
