Stochastic measures of arbitrage.

DOI10.1007/BF02579021MaRDI QIDQ1871422zbMATH OpenOpenAlexFDO

Authors M. J. Muñoz-Bouzo, Alejandro Balbás

Publication date 13 July 2003

Published in Top (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02579021, http://hdl.handle.net/10016/6471

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

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Cites work

• A duality theorem for a convex programming problem in order complete vector lattices
• Arbitrage bounds for the term structure of interest rates
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• European Option Pricing with Transaction Costs
• scientific article; zbMATH DE number 4029251 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• Martingales and arbitage in securities markets with transaction costs
• Martingales and arbitrage in multiperiod securities markets
• Nonmonotonic Choquet integrals
• Projective system approach to the martingale characterization of the absence of arbitrage
• Sensitivity analysis for convex multiobjective programming in abstract spaces
• Sensitivity analysis in vector optimization
• Sufficient optimality conditions and duality in vector optimization with invex-convexlike functions
• The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.
• The fundamental theorem of asset pricing with cone constraints
• The valuation problem in arbitrage price theory
• Theory of multiobjective optimization

Cited in

(9)

• The internalist perspective on inevitable arbitrage in financial markets
• On the measurement of financial market integration
• Arbitrage opportunities in misspecified stochastic volatility models
• Efficiency analysis, shortage functions, arbitrage, and martingales
• scientific article; zbMATH DE number 2166259 (Why is no real title available?)
• Risk arbitrage opportunities for stock index options
• Arbitrage Theory in Continuous Time
• Optimal measure preserving derivatives revisited
• Arbitrage opportunities in diverse markets via a non-equivalent measure change

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