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How non-arbitrage, viability and numéraire portfolio are related

Choulli, Tahir; Deng, Jun; Ma, Junfeng - In: Finance and stochastics 19 (2015) 4, pp. 719-741

Persistent link: https://www.econbiz.de/10011420437

On local times : application to pricing using bid-ask

Kettler, Paul C.; Menoukeu-Pamen, Olivier; Proske, Frank - In: Journal of mathematical finance 4 (2014) 2, pp. 84-94

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Arbitrage theory in models with transaction costs beyond efficient friction

Molitor, Alexander - 2022

Persistent link: https://www.econbiz.de/10013187807

Gambler's ruin problem and bi-directional grid constrained trading and investment strategies

Taranto, Aldo; Khan, Shahjahan - In: Investment management and financial innovations 17 (2020) 3, pp. 54-66

Persistent link: https://www.econbiz.de/10012405536

Properly discounted asset prices are semimartingales

Bálint, Dániel; Schweizer, Martin - In: Mathematics and financial economics 14 (2020) 4, pp. 661-674

Persistent link: https://www.econbiz.de/10012321854

About stochastic calculus in presence of jumps at predictable stopping times

Galtchouk, Leonid - In: Journal of mathematical finance 6 (2016) 3, pp. 443-456

Persistent link: https://www.econbiz.de/10011583560

Large-dimensional factor modeling based on high-frequency observations

Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42

Persistent link: https://www.econbiz.de/10012139775

Properly discounted asset prices are semimartingales

Bálint, Dániel Ágoston; Schweizer, Martin - 2019 - This version: October 3, 2019

not a priori semimartingales). Traders are allowed to use simple (piecewise constant) strategies. We prove that under a … strategy with positive wealth must follow semimartingales. We also establish a corresponding version of the fundamental theorem …

Persistent link: https://www.econbiz.de/10012134260

Stability of the exponential utility maximization problem with respect to preferences

Xing, Hao - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 38-67

Persistent link: https://www.econbiz.de/10011739439

Making no-arbitrage discounting-invariant : a new FTAP beyond NFLVR and NUPBR

Bálint, Dániel Ágoston; Schweizer, Martin - 2018 - This version: March 16, 2018

In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious shortcoming that they depend crucially on the way prices are discounted. To avoid this economically unnatural behaviour, we introduce a new way of defining “absence of...

Persistent link: https://www.econbiz.de/10011899592