A financial market model where agents trade using realistic combinations of simple (i.e., finite combinations of buy-and-hold) no-short-sales strategies is considered. Minimal assumptions are made on the discounted asset-price process â in particular, the semimartingale property is not assumed....

We present a short and self-contained proof of the following result: a random time is an honest time that avoids all stopping times if and only if it coincides with the (last) time of maximum of a nonnegative local martingale with zero terminal value and no jumps while at its running supremum,...

The numéraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numéraire portfolio depends on market characteristics, which include: (a) the information flow available to...