Martingales and arbitrage: a new look
DOI10.1007/BF03191907zbMATH Open1181.91355MaRDI QIDQ5852467FDOQ5852467
Alejandro Balbás, P. Jiménez Guerra
Publication date: 27 January 2010
Published in: Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/43693
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Generalizations of martingales (60G48) Financial applications of other theories (91G80) Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05)
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- Equivalent martingale measures for large financial markets in discrete time
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- On the existence and characterization of arbitrage–free measure in contingent claim valuation
- Arbitrage in continuous complete markets
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- Infinitely many securities and the fundamental theorem of asset pricing
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- Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting
- Arbitrage pricing theory and risk-neutral measures
- Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions
- A martingale characterization of equilibrium asset price processes
- Existence of equivalent martingale measures in finite dimensional securities markets
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