Markets with transaction costs. Mathematical theory.
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(only showing first 100 items - show all)- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- Conditional cores and conditional convex hulls of random sets
- Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies
- Hedging under an expected loss constraint with small transaction costs
- Group classification for a class of non-linear models of the RAPM type
- Time consistency for scalar multivariate risk measures
- Orthogonal decompositions in Hilbert \(A\)-modules
- Multivariate risk measures in the non-convex setting
- Multiasset derivatives and joint distributions of asset prices
- Optimal investment with transaction costs under cumulative prospect theory in discrete time
- No-arbitrage concepts in topological vector lattices
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions
- Local martingales in discrete time
- Duality and optimality conditions in stochastic optimization and mathematical finance
- Parameter-dependent stochastic optimal control in finite discrete time
- Hedging of game options in discrete markets with transaction costs
- No arbitrage and lead-lag relationships
- Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
- 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
- General financial market model defined by a liquidation value process
- Conditional interior and conditional closure of random sets
- On the existence of shadow prices for optimal investment with random endowment
- FTAP in finite discrete time with transaction costs by utility maximization
- Skorohod's representation theorem and optimal strategies for markets with frictions
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- Pathwise superhedging under proportional transaction costs
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk
- A strong law of large numbers for positive random variables
- Von Neumann–Gale model, market frictions and capital growth
- Super‐replication with transaction costs under model uncertainty for continuous processes
- Deep hedging
- Set-valued dynamic risk measures for bounded discrete-time processes
- Intragroup transfers, intragroup diversification and their risk assessment
- Asset price bubbles in markets with transaction costs
- A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
- Convex integral functionals of regular processes
- Scalar multivariate risk measures with a single eligible asset
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Permutation invariant strong law of large numbers for exchangeable sequences
- Asymptotics for fixed transaction costs
- How local in time is the no-arbitrage property under capital gains taxes?
- Permutation-invariance in Komlós type theorem for non-negative random variables
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- A supermartingale relation for multivariate risk measures
- Sensitivity of optimal consumption streams
- Hedging in fractional Black-Scholes model with transaction costs
- General indifference pricing with small transaction costs
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- How fast does it diverge? Discrete hedging error with transaction costs
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
- Pricing and hedging game options in currency models with proportional transaction costs
- Random optimization on random sets
- scientific article; zbMATH DE number 7606594 (Why is no real title available?)
- Optimal investment and consumption for financial markets with jumps under transaction costs
- NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
- Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
- Impact of time illiquidity in a mixed market without full observation
- CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
- Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Asset pricing and hedging in financial markets with fixed and proportional transaction costs
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs
- A note on super-hedging for investor-producers
- Optimal investment with random endowments and transaction costs: duality theory and shadow prices
- On Supremal and Maximal Sets with Respect to Random Partial Orders
- Optional and predictable projections of normal integrands and convex-valued processes
- Dynamic programming principle and computable prices in financial market models with transaction costs
- Hedging Problem for Asian Call Options with Transaction Costs
- Semimartingale price systems in models with transaction costs beyond efficient friction
- The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs
- No free lunch for markets with multiple numéraires
- scientific article; zbMATH DE number 7405331 (Why is no real title available?)
- MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION
- Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Arbitrage theory for non convex financial market models
- Dual representation of superhedging costs in illiquid markets
- Small transaction costs, absence of arbitrage and consistent price systems
- Asymptotic arbitrage in large financial markets with friction
- No-arbitrage of second kind in countable markets with proportional transaction costs
- Optimal portfolio management in a modified constant elasticity of variance model
- Consumption-investment problem with transaction costs for Lévy-driven price processes
- Optimal investment and contingent claim valuation in illiquid markets
- scientific article; zbMATH DE number 1867099 (Why is no real title available?)
- Essential supremum with respect to a random partial order
- Essential supremum and essential maximum with respect to random preference relations
- Put-call parity and market frictions
- Set-valued law invariant coherent and convex risk measures
- On the existence of shadow prices
- Optimal consumption and investment with fixed and proportional transaction costs
- Equivalent locally martingale measure for the deflator process on ordered Banach algebra
- Asymptotic replication with modified volatility under small transaction costs
- A short proof of the Doob-Meyer theorem
- A note on utility-based pricing in models with transaction costs
- A note on the von Weizsäcker theorem
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