The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective system of topological spaces and Radon...

This paper empirically tests the level of sequential arbitrage in the Spanish bond market. The test is implemented by drawing on default free and option free pure discount and coupon bonds issued by the Spanish government. This fact seems to be a clear distinction between this paper and the...

This paper has considered a risk measure ? and a (maybe incomplete and/or imperfect) arbitrage-free market with pricing rule p. They are said to be compatible if there are no reachable strategies y such that p (y) remains bounded and ?(y) is close to - 8. We show that the lack of compatibility...

This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may be finite or infinite, with bounded or...

Las imperfecciones de los mercados financieros y la falta de liquidez pueden generar altos costes de transacción. Esto es especialmente claro e importante en mercados derivados (muchos de ellos OTC) de reciente aparición (derivados eléctricos, meteorológicos, sobre mercancías, sobre...

This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one period no-arbitrage approach of Financial Economics (Ingersoll (1987)). Under quite weak assumptions on the interest rate behavior several shadow riskless assets are introduced by means of...

This paper studies a portfolio choice problem such that the pricing rule may incorporate transaction costs and the risk measure is coherent and expectation bounded. We will prove the necessity of dealing with pricing rules such that there are essentially bounded stochastic discount factors,...

The optimal reinsurance problem is a classic topic in Actuarial Mathematics. Recent approaches consider a coherent or expectation bounded risk measure and minimize the global risk of the ceding company under adequate constraints. However, there is no consensus about the risk measure that the...