The Banach space of workable contingent claims in arbitrage theory

DOI10.1016/S0246-0203(97)80118-5zbMATH Open0872.90008OpenAlexW2075730060MaRDI QIDQ677675FDOQ677675

Authors: Freddy Delbaen, Walter Schachermayer 

Publication date: 5 October 1997

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1997__33_1_113_0

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zbMATH Keywords

mathematical financeconvex cone of maximal admissible contingent claims

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited In (28)

• Overview of utility-based valuation
• CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• Pricing and valuation under the real-world measure
• OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
• Bounds for the utility-indifference prices of non-traded assets in incomplete markets
• Stability of the Indirect Utility Process
• Reproducing kernel Hilbert space based on special integrable semimartingales and stochastic integration
• A characterization of the set of local martingale measures
• Optimal investment in incomplete markets when wealth may become negative.
• Optimal investment with random endowments in incomplete markets.
• Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
• A note on the no arbitrage condition for international financial markets
• Optimal investment and price dependence in a semi-static market
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• No-arbitrage in a numéraire-independent modeling framework
• Pricing with non-smooth utility function
• Pricing and hedging in the presence of extraneous risks
• No Arbitrage Theory for Bond Markets
• Optimal investment with random endowments and transaction costs: duality theory and shadow prices
• Optimal investment and consumption with labor income in incomplete markets
• The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
• DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION?
• STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
• On the density of properly maximal claims in financial markets with transaction costs
• Utility maximization with a stochastic clock and an unbounded random endowment
• THE MEANING OF MARKET EFFICIENCY

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