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Financial and thermodynamic equilibrium

Roma, Antonio - 2000

Persistent link: https://www.econbiz.de/10001547575

Financial and thermodynamic equilibrium

Roma, Antonio - In: Economic notes : economic review of Banca Monte dei … 29 (2000) 3, pp. 341-354

Persistent link: https://www.econbiz.de/10001537446

A thermodynamical view on asset pricing

Gündüz, Güngör; Gündüz, Yalın - In: International review of financial analysis 47 (2016), pp. 310-327

Persistent link: https://www.econbiz.de/10011624237

Locally phi-integrable sigma-martingale densities for general semimartingales

Choulli, Tahir; Schweizer, Martin - 2015 - This version: 22.5.2015

A P-sigma-martingale density for a given stochastic process S is a local P-martingale Z0 starting at 1 such that the product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence-of-arbitrage property of S, and it is invariant if we replace the...

Persistent link: https://www.econbiz.de/10011296922