The Banach space of workable contingent claims in arbitrage theory

DOI10.1016/S0246-0203(97)80118-5MaRDI QIDQ677675zbMATH OpenOpenAlexFDO

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, https://eudml.org/doc/77558

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)

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Cited in

(28)

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

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