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Arbitrage and deflators in illiquid markets

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  • Teemu Pennanen

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Abstract

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Suggested Citation

  • Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
  • Handle: RePEc:spr:finsto:v:15:y:2011:i:1:p:57-83
    DOI: 10.1007/s00780-009-0118-8
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    References listed on IDEAS

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    3. Kaval, K. & Molchanov, I., 2006. "Link-save trading," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 710-728, September.
    4. Teemu Pennanen, 2008. "Superhedging in illiquid markets," Papers 0807.2962, arXiv.org.
    5. Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004. "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 201-221.
    6. Schachermayer, W., 1992. "A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 249-257, December.
    7. Napp, C., 2003. "The Dalang-Morton-Willinger theorem under cone constraints," Journal of Mathematical Economics, Elsevier, vol. 39(1-2), pages 111-126, February.
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    9. L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters,in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
    10. Elyès Jouini, 2001. "Arbitrage and investment opportunities," Finance and Stochastics, Springer, vol. 5(3), pages 305-325.
    11. Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 265-279, March.
    12. Kraus, Alan & Stoll, Hans R, 1972. "Price Impacts of Block Trading on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 27(3), pages 569-588, June.
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    15. Bühlmann, Hans & Delbaen, Freddy & Embrechts, Paul & Shiryaev, Albert N., 1998. "On Esscher Transforms in Discrete Finance Models," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 28(02), pages 171-186, November.
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    17. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
    18. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1995. "Tax Basis And Nonlinearity In Cash Stream Valuation," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 97-119.
    19. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54.
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    21. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
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    Citations

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    Cited by:

    1. Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
    2. repec:spr:joecth:v:64:y:2017:i:3:d:10.1007_s00199-016-0999-7 is not listed on IDEAS
    3. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
    4. Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
    5. Bruno Bouchard & Adrien Nguyen Huu, 2013. "No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs," Post-Print hal-00487030, HAL.
    6. repec:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750011x is not listed on IDEAS
    7. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.

    More about this item

    Keywords

    Illiquidity; Portfolio constraints; Claim processes; Arbitrage; Deflators; 91B25; 52A07; 46A20; C60; G10;

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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