Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
From MaRDI portal
Publication:5459529
DOI10.1080/13504860701255078zbMath1143.91016OpenAlexW3124587418MaRDI QIDQ5459529
Publication date: 29 April 2008
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860701255078
Related Items
On long-term arbitrage opportunities in Markovian models of financial markets, Asymptotic exponential arbitrage in the Schwartz commodity futures model, Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Universal strategies for diffusion markets and possibility of asymptotic arbitrage
- Multiperiod security markets with differential information
- Martingales and arbitrage in multiperiod securities markets
- Arbitrage and equilibrium in economies with infinitely many commodities
- Martingales and stochastic integrals in the theory of continuous trading
- Asymptotic arbitrage in large financial markets
- A bounded risk strategy for a market with non-observable parameters.
- Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
- Optimal trading strategy for an investor: the case of partial information
- Utility maximization with partial information
- Martingales and arbitage in securities markets with transaction costs
- Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter
- Universal Portfolios
- SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS
- A COMMENT ON MARKET FREE LUNCH AND FREE LUNCH
