Pages that link to "Item:Q1897315"

The following pages link to Martingales and arbitage in securities markets with transaction costs (Q1897315):

Displaying 50 items.

• Weakly time consistent concave valuations and their dual representations (Q261920) (← links)
• Testing affine term structure models in case of transaction costs (Q262758) (← links)
• Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
• Benchmarking in two price financial markets (Q315468) (← links)
• Dynamic conic hedging for competitiveness (Q317543) (← links)
• On the strategic behavior of large investors: a mean-variance portfolio approach (Q323400) (← links)
• Acceptability indexes via \(g\)-expectations: an application to liquidity risk (Q367373) (← links)
• On the existence of shadow prices (Q377456) (← links)
• Consistent price systems in multiasset markets (Q448327) (← links)
• The super-replication theorem under proportional transaction costs revisited (Q475314) (← links)
• Arbitrage and deflators in illiquid markets (Q483698) (← links)
• Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
• Convex duality in optimal investment under illiquidity (Q484140) (← links)
• The scaling limit of superreplication prices with small transaction costs in the multivariate case (Q522060) (← links)
• Existence of shadow prices in finite probability spaces (Q532533) (← links)
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads (Q553523) (← links)
• Pricing rules and Arrow-Debreu ambiguous valuation (Q663197) (← links)
• Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model (Q665729) (← links)
• The fundamental theorem of asset pricing for continuous processes under small transaction costs (Q666440) (← links)
• Asset pricing in an imperfect world (Q683829) (← links)
• Minimax strategies and duality with applications in financial mathematics (Q692314) (← links)
• The fundamental theorem of asset pricing under transaction costs (Q693033) (← links)
• Introduction to convex optimization in financial markets (Q715237) (← links)
• Asset pricing under progressive taxes and existence of general equilibrium (Q813344) (← links)
• Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs (Q816360) (← links)
• Put-call parity and generalized neo-additive pricing rules (Q829512) (← links)
• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure (Q854277) (← links)
• Link-save trading (Q855369) (← links)
• Computation of arbitrage in frictional bond markets (Q860869) (← links)
• American contingent claims under small proportional transaction costs (Q861832) (← links)
• Risk measure pricing and hedging in the presence of transaction costs (Q874350) (← links)
• How non-arbitrage, viability and numéraire portfolio are related (Q889619) (← links)
• Put-call parity and market frictions (Q894049) (← links)
• 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 (Q902181) (← links)
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging (Q944910) (← links)
• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization (Q956490) (← links)
• Universal strategies for diffusion markets and possibility of asymptotic arbitrage (Q977147) (← links)
• On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
• American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions (Q1028005) (← links)
• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (Q1038336) (← links)
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk (Q1045982) (← links)
• General equilibrium with endogenously incomplete financial markets (Q1270749) (← links)
• The fundamental theorem of asset pricing with cone constraints (Q1300412) (← links)
• The Dalang-Morton-Willinger theorem under cone constraints. (Q1394998) (← links)
• A bounded risk strategy for a market with non-observable parameters. (Q1413317) (← links)
• Choquet pricing and equilibrium. (Q1413404) (← links)
• The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets. (Q1416296) (← links)
• Sublinear price functionals under portfolio constraints (Q1567183) (← links)
• Transaction costs and a redundant security: Divergence of individual and social relevance (Q1567196) (← links)
• Computation of distorted probabilities for diffusion processes via stochastic control methods. (Q1584581) (← links)