Banach geometry of arbitrage free markets

DOI10.1007/S11117-020-00782-6MaRDI QIDQ830200zbMATHOpenAlexFDO

Authors A. V. Lebedev, Peter P. Zabreĭko

Publication date 7 May 2021

Published in Positivity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.4807

zbMATH Keywords

martingale measurearbitrage free marketplasterable conereflexive subspaceseparation of cones

Mathematics Subject Classification ID

Financial markets (91G15) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Abstract: The article presents a description of geometry of Banach structures forming mathematical base of markets arbitrage absence type phenomena. In this connection the role of reflexive subspaces (replacing classically considered finite-dimensional subspaces) and plasterable cones is uncovered.

Recommendations

• Banach geometry of financial market models
• scientific article; zbMATH DE number 1187418
• Applications to mathematical finance
• A non-equilibrium geometric no-arbitrage principle
• A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES

Cites work

• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
• scientific article; zbMATH DE number 3757085 (Why is no real title available?)
• scientific article; zbMATH DE number 42531 (Why is no real title available?)
• scientific article; zbMATH DE number 3808287 (Why is no real title available?)
• scientific article; zbMATH DE number 2206777 (Why is no real title available?)
• scientific article; zbMATH DE number 3195671 (Why is no real title available?)
• Banach geometry of financial market models
• PDE and martingale methods in option pricing.
• Stochastic finance. An introduction in discrete time
• The mathematics of arbitrage

Cited in

(7)

• Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
• No-arbitrage concepts in topological vector lattices
• Banach geometry of financial market models
• The geometry of relative arbitrage
• Fundamental theorem of asset pricing: a strengthened version and a martingale measures search area
• Geometric arbitrage theory and market dynamics
• A non-equilibrium geometric no-arbitrage principle

This page was built for publication: Banach geometry of arbitrage free markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q830200)