Market viability via absence of arbitrage of the first kind

DOI10.1007/S00780-012-0172-5zbMATH Open1254.91743arXiv0904.1798OpenAlexW2099593114MaRDI QIDQ693030FDOQ693030

Authors: Constantinos Kardaras 

Publication date: 7 December 2012

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

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.

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

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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)

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Cited In (41)

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

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