Market viability via absence of arbitrage of the first kind

DOI10.1007/S00780-012-0172-5MaRDI QIDQ693030zbMATH OpenOpenAlexFDO

Authors Constantinos Kardaras

Publication date 7 December 2012

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.1798

zbMATH Keywords

fundamental theorem of asset pricingarbitrage of the first kindsemimartingalespredictable characteristicscheap thrillsequivalent local martingale deflators

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Martingales with continuous parameter (60G44) Stochastic models in economics (91B70) Stochastic analysis (60H99)

Abstract: In a semimartingale financial market model, it is shown that there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.

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Cited in

(41)

• On the closure in the emery topology of semimartingale wealth-process sets
• Arbitrage of the first kind and filtration enlargements in semimartingale financial models
• Supermartingale deflators in the absence of a numéraire
• No-arbitrage under additional information for thin semimartingale models
• Generalized supermartingale deflators under limited information
• Shadow prices for continuous processes
• Optimal investment with intermediate consumption under no unbounded profit with bounded risk
• Market Models with Optimal Arbitrage
• Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
• Drift operator in a viable expansion of information flow
• No-arbitrage in a numéraire-independent modeling framework
• On the semimartingale property of discounted asset-price processes
• No-arbitrage under a class of honest times
• Expansion of a filtration with a stochastic process: the information drift
• No-arbitrage concepts in topological vector lattices
• Outperforming the market portfolio with a given probability
• On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
• Utility maximization under risk constraints and incomplete information for a market with a change point
• Duality theory for portfolio optimisation under transaction costs
• A benchmark approach to risk-minimization under partial information
• Market viability and martingale measures under partial information
• Explicit description of HARA forward utilities and their optimal portfolios
• Arbitrage theory in a market of stochastic dimension
• On the dual problem of utility maximization in incomplete markets
• On arbitrages arising with honest times
• The existence of dominating local martingale measures
• Single jump processes and strict local martingales
• Arbitrage-free pricing of derivatives in nonlinear market models
• A note on the condition of no unbounded profit with bounded risk
• Duality for optimal consumption under no unbounded profit with bounded risk
• Diffusion-based models for financial markets without martingale measures
• No arbitrage and multiplicative special semimartingales
• Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
• No arbitrage of the first kind and local martingale numéraires
• Local risk-minimization under the benchmark approach
• Martingale representation processes and applications in the market viability under information flow expansion
• Arbitrage and utility maximization in market models with an insider
• Weak and strong no-arbitrage conditions for continuous financial markets
• Valuation and parities for exchange options
• Optimal consumption of multiple goods in incomplete markets
• Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR

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