Markets with transaction costs. Mathematical theory.
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(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
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Group classification for a class of non-linear models of the RAPM type
- Consistent price systems under model uncertainty
- Superreplication when trading at market indifference prices
- Set-valued law invariant coherent and convex risk measures
- Optimal investment and contingent claim valuation in illiquid markets
- Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
- Asymptotics for fixed transaction costs
- Robust hedging with proportional transaction costs
- On the dual of the solvency cone
- Sticky processes, local and true martingales
- Set-valued risk statistics with scenario analysis
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- A note on the von Weizsäcker theorem
- Asymptotic arbitrage in large financial markets with friction
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Sensitivity of optimal consumption streams
- Put-call parity and market frictions
- Permutation-invariance in Komlós type theorem for non-negative random variables
- Utility maximization with proportional transaction costs under model uncertainty
- A strong law of large numbers for positive random variables
- Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
- Convex integral functionals of regular processes
- Stochastic programs without duality gaps
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
- Asset pricing and hedging in financial markets with fixed and proportional transaction costs
- Robust utility maximisation in markets with transaction costs
- A set optimization approach to utility maximization under transaction costs
- CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
- Admissible Trading Strategies Under Transaction Costs
- Asymptotic replication with modified volatility under small transaction costs
- Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs
- Orthogonal decompositions in Hilbert A-modules
- Nonlinear expectations of random sets
- Local martingales in discrete time
- A short proof of the Doob-Meyer theorem
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
- A complement to the Grigoriev theorem for the Kabanov model
- 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
- No arbitrage of the first kind and local martingale numéraires
- 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
- Optional and predictable projections of normal integrands and convex-valued processes
- On the existence of shadow prices
- Superhedging in illiquid markets
- Pricing under dynamic risk measures
- Consistent price systems in multiasset markets
- The super-replication theorem under proportional transaction costs revisited
- Discrete-time market models from the small investor point of view and the first fundamental-type theorem
- Fundamental theorem of asset pricing under transaction costs and model uncertainty
- 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
- Conditional cores and conditional convex hulls of random sets
- Multivariate risk measures in the non-convex setting
- Benchmarking in two price financial markets
- Behavioral equilibrium and evolutionary dynamics in asset markets
- Study of the risk-adjusted pricing methodology model with methods of geometrical analysis
- Multivariate risk measures: a constructive approach based on selections
- Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs
- Pricing and hedging game options in currency models with proportional transaction costs
- Shadow price in the power utility case
- Asymptotic arbitrage with small transaction costs
- Continuous essential selections and integral functionals
- Optimal investment and consumption for financial markets with jumps under transaction costs
- No free lunch for markets with multiple numéraires
- An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
- A note on utility-based pricing in models with transaction costs
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- How non-arbitrage, viability and numéraire portfolio are related
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Efficient portfolios in financial markets with proportional transaction costs
- Set-valued dynamic risk measures for bounded discrete-time processes
- Hedging of game options in discrete markets with transaction costs
- scientific article; zbMATH DE number 7405331 (Why is no real title available?)
- General financial market model defined by a liquidation value process
- Hedging, arbitrage and optimality with superlinear frictions
- Super‐replication with transaction costs under model uncertainty for continuous processes
- Hedging Problem for Asian Call Options with Transaction Costs
- No arbitrage and lead-lag relationships
- Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
- 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
- Duality and optimality conditions in stochastic optimization and mathematical finance
- How local in time is the no-arbitrage property under capital gains taxes?
- No-arbitrage with multiple-priors in discrete time
- Pricing without no-arbitrage condition in discrete time
- How fast does it diverge? Discrete hedging error with transaction costs
- On the existence of shadow prices for optimal investment with random endowment
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
- Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk
- Consumption-investment problem with transaction costs for Lévy-driven price processes
- Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
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