Markets with transaction costs. Mathematical theory.
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Publication:930275
DOI10.1007/978-3-540-68121-2zbMATH Open1186.91006OpenAlexW2502053163MaRDI QIDQ930275FDOQ930275
Authors: Yuri Kabanov, Mher M. Safarian 
Publication date: 24 June 2008
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-68121-2
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Cited In (only showing first 100 items - show all)
- Essential supremum with respect to a random partial order
- Essential supremum and essential maximum with respect to random preference relations
- Set-valued law invariant coherent and convex risk measures
- Consistent price systems under model uncertainty
- Superreplication when trading at market indifference prices
- Optimal investment and contingent claim valuation in illiquid markets
- Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
- On the dual of the solvency cone
- Robust hedging with proportional transaction costs
- Sticky processes, local and true martingales
- Set-valued risk statistics with scenario analysis
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Asymptotic arbitrage in large financial markets with friction
- A note on the von Weizsäcker theorem
- Put-call parity and market frictions
- Utility maximization with proportional transaction costs under model uncertainty
- Stochastic programs without duality gaps
- Admissible Trading Strategies Under Transaction Costs
- Robust utility maximisation in markets with transaction costs
- A set optimization approach to utility maximization under transaction costs
- Asymptotic replication with modified volatility under small transaction costs
- Nonlinear expectations of random sets
- No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
- A short proof of the Doob-Meyer theorem
- A complement to the Grigoriev theorem for the Kabanov model
- No arbitrage of the first kind and local martingale numéraires
- Superhedging in illiquid markets
- On the existence of shadow prices
- Pricing under dynamic risk measures
- Fundamental theorem of asset pricing under transaction costs and model uncertainty
- Consistent price systems in multiasset markets
- Discrete-time market models from the small investor point of view and the first fundamental-type theorem
- The super-replication theorem under proportional transaction costs revisited
- Dual representation of superhedging costs in illiquid markets
- No-arbitrage of second kind in countable markets with proportional transaction costs
- Existence of shadow prices in finite probability spaces
- Behavioral equilibrium and evolutionary dynamics in asset markets
- Study of the risk-adjusted pricing methodology model with methods of geometrical analysis
- Benchmarking in two price financial markets
- Multivariate risk measures: a constructive approach based on selections
- Asymptotic arbitrage with small transaction costs
- An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- Shadow price in the power utility case
- Continuous essential selections and integral functionals
- A note on utility-based pricing in models with transaction costs
- Efficient portfolios in financial markets with proportional transaction costs
- How non-arbitrage, viability and numéraire portfolio are related
- Hedging, arbitrage and optimality with superlinear frictions
- No-arbitrage with multiple-priors in discrete time
- Pricing without no-arbitrage condition in discrete time
- Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
- Consumption-investment problem with transaction costs for Lévy-driven price processes
- Set-valued risk measures for conical market models
- New methods in the arbitrage theory of financial markets with transaction costs
- Small transaction costs, absence of arbitrage and consistent price systems
- A dynamic version of the super-replication theorem under proportional transaction costs
- No-arbitrage criteria for financial markets with transaction costs and incomplete information
- Convex duality in optimal investment under illiquidity
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- Risk-averse asymptotics for reservation prices
- Optimal portfolio management in a modified constant elasticity of variance model
- Equivalent locally martingale measure for the deflator process on ordered Banach algebra
- Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
- Introduction to convex optimization in financial markets
- Set-valued average value at risk and its computation
- Optimal consumption and investment with fixed and proportional transaction costs
- Behavioral investors in conic market models
- Title not available (Why is that?)
- An explicit solution for optimal investment in Heston model
- Arbitrage theory for non convex financial market models
- Group classification for a class of non-linear models of the RAPM type
- Asymptotics for fixed transaction costs
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Permutation-invariance in Komlós type theorem for non-negative random variables
- Sensitivity of optimal consumption streams
- A strong law of large numbers for positive random variables
- Convex integral functionals of regular processes
- Orthogonal decompositions in Hilbert \(A\)-modules
- Local martingales in discrete time
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
- Fundamental theorem of asset pricing under fixed and proportional transaction costs
- Risk arbitrage and hedging to acceptability under transaction costs
- Conditional interior and conditional closure of random sets
- FTAP in finite discrete time with transaction costs by utility maximization
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Conditional cores and conditional convex hulls of random sets
- Multivariate risk measures in the non-convex setting
- Pricing and hedging game options in currency models with proportional transaction costs
- Hedging of game options in discrete markets with transaction costs
- Set-valued dynamic risk measures for bounded discrete-time processes
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- General financial market model defined by a liquidation value process
- Super‐replication with transaction costs under model uncertainty for continuous processes
- Duality and optimality conditions in stochastic optimization and mathematical finance
- No arbitrage and lead-lag relationships
- Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
- On the existence of shadow prices for optimal investment with random endowment
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