The Banach space of workable contingent claims in arbitrage theory

DOI10.1016/S0246-0203(97)80118-5zbMath0872.90008OpenAlexW2075730060MaRDI QIDQ677675

Walter Schachermayer, Freddy Delbaen

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

zbMATH Keywords

mathematical financeconvex cone of maximal admissible contingent claims

Mathematics Subject Classification ID

Related Items (27)

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

This page was built for publication: The Banach space of workable contingent claims in arbitrage theory