We refine some criteria for the convex comparison of martingale densities suggested in Franke et al. (1999) and Bellini … apply these conditions to the case of minimal f-divergence martingale measures, establishing an ordering result in the case …

equivalent martingale measure is not unique for this market, and there are non-replicable claims. The martingale prices and the … hedging error can vary significantly and take extreme values, for some extreme choices of the equivalent martingale measures …. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures …

Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded … necessary and sufficient conditions for market viability in terms of the \emph{market price of risk} process and martingale … deflators. Regardless of the existence of a martingale measure, we show that the financial market may still be complete and …

This paper studies pricing of default able claims in a semi martingale setting …

For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the … financial asset's pricing theory. Here, we propose a new approach based on convex duality instead of martingale measures duality …

meaningless under such a framework, we use the notion of P-full support, which is a condition on the support of a martingale … equivalent to the existence of a discrete martingale measure …