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On the semimartingale property of discounted asset-price processes
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Cited by:
- Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
- Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Post-Print hal-02373296, HAL.
- Kreher, Dörte, 2017. "Change of measure up to a random time: Details," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1565-1598.
- Kardaras, Constantinos, 2013. "On the closure in the Emery topology of semimartingale wealth-process sets," LSE Research Online Documents on Economics 44996, London School of Economics and Political Science, LSE Library.
- Dániel Ágoston Bálint & Martin Schweizer, 2019. "Properly Discounted Asset Prices Are Semimartingales," Swiss Finance Institute Research Paper Series 19-53, Swiss Finance Institute.
- Huy N. Chau & Andrea Cosso & Claudio Fontana, 2020. "The value of informational arbitrage," Finance and Stochastics, Springer, vol. 24(2), pages 277-307, April.
- Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Finance and Stochastics, Springer, vol. 22(1), pages 161-180, January.
- Christoph Kühn & Alexander Molitor, 2022. "Semimartingale price systems in models with transaction costs beyond efficient friction," Finance and Stochastics, Springer, vol. 26(4), pages 927-982, October.
- Song, Shiqi, 2016. "Drift operator in a viable expansion of information flow," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2297-2322.
- Christoph Kuhn & Alexander Molitor, 2020. "Semimartingale price systems in models with transaction costs beyond efficient friction," Papers 2001.03190, arXiv.org, revised Aug 2021.
- Martin HERDEGEN & Martin SCHWEIZER, 2015. "Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)," Swiss Finance Institute Research Paper Series 15-05, Swiss Finance Institute.
- Mostovyi, Oleksii, 2020. "Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4444-4469.
- Constantinos Kardaras, 2019. "Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to Mathematical Finance," Papers 1908.03946, arXiv.org, revised Aug 2019.
- Czichowsky, Christoph Johannes & Peyre, Rémi & Schachermayer, Walter & Yang, Junjian, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 85230, London School of Economics and Political Science, LSE Library.
- Dániel Ágoston Bálint & Martin Schweizer, 2018. "Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR," Swiss Finance Institute Research Paper Series 18-23, Swiss Finance Institute, revised Mar 2018.
- Constantinos Kardaras, 2009. "Finitely additive probabilities and the Fundamental Theorem of Asset Pricing," Papers 0911.5503, arXiv.org.
- Constantinos Kardaras, 2011. "On the closure in the Emery topology of semimartingale wealth-process sets," Papers 1108.0945, arXiv.org, revised Jul 2013.
- Constantinos Kardaras & Eckhard Platen, 2008.
"Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies,"
Research Paper Series
240, Quantitative Finance Research Centre, University of Technology, Sydney.
- Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading," Papers 0812.0033, arXiv.org, revised Mar 2010.
- Martin Herdegen & Martin Schweizer, 2016. "Strong Bubbles And Strict Local Martingales," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-44, June.
- Oliver Janke & Qinghua Li, 2015. "Portfolio Optimization under Shortfall Risk Constraint," Papers 1501.07480, arXiv.org, revised Apr 2016.
- Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
- Czichowsky, Christoph & Schachermayer, Walter, 2017. "Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion," LSE Research Online Documents on Economics 67689, London School of Economics and Political Science, LSE Library.
- Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.
- Nicolas Perkowski & David J. Promel, 2013. "Pathwise stochastic integrals for model free finance," Papers 1311.6187, arXiv.org, revised Jun 2016.
- Constantinos Kardaras & Eckhard Platen, 2008.
"Minimizing the Expected Market Time to Reach a Certain Wealth Level,"
Research Paper Series
230, Quantitative Finance Research Centre, University of Technology, Sydney.
- Constantinos Kardaras & Eckhard Platen, 2009. "Minimizing the expected market time to reach a certain wealth level," Papers 0904.1903, arXiv.org.
- Christoph Czichowsky & R'emi Peyre & Walter Schachermayer & Junjian Yang, 2016. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Papers 1608.01415, arXiv.org.
- Xiang Yu, 2014. "Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments," Papers 1408.1382, arXiv.org, revised Jul 2016.
- Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
- Mathias Beiglbock & Walter Schachermayer & Bezirgen Veliyev, 2010. "A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage," Papers 1004.5559, arXiv.org.
- Eckhard Platen & Stefan Tappe, 2020. "Exploiting arbitrage requires short selling," Papers 2011.12523, arXiv.org, revised Sep 2022.