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Publication:855369
DOI10.1016/J.JMATECO.2006.03.005zbMATH Open1142.91532OpenAlexW2053324441MaRDI QIDQ855369FDOQ855369
Publication date: 7 December 2006
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2006.03.005
Cites Work
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- An introduction to copulas. Properties and applications
- Theory of Random Sets
- Triangular norms
- Martingales and arbitrage in multiperiod securities markets
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Non-arbitrage criteria for financial markets with efficient friction
- Martingales and arbitage in securities markets with transaction costs
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
- Hedging and liquidation under transaction costs in currency markets
- Integrals of set-valued functions
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- Conservative delta hedging.
- On multivalued martingales whose values may be unbounded: Martingale selectors and Mosco convergence
- A strong law of large numbers for random compact sets
- Price functionals with bid-ask spreads: An axiomatic approach
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