IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1705.02087.html
   My bibliography  Save this paper

A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting

Author

Listed:
  • Christa Cuchiero
  • Irene Klein
  • Josef Teichmann

Abstract

We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p

Suggested Citation

  • Christa Cuchiero & Irene Klein & Josef Teichmann, 2017. "A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting," Papers 1705.02087, arXiv.org.
    • Handle: RePEc:arx:papers:1705.02087
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1705.02087
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
    2. Damiano Brigo & Fabio Mercurio, 2002. "Lognormal-Mixture Dynamics And Calibration To Market Volatility Smiles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 427-446.
    3. Patrick Cheridito & Michael Kupper, 2011. "Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 137-162.
    4. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
    5. W. Schachermayer, 1994. "Martingale Measures For Discrete‐Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 25-55, January.
    6. De Donno, M. & Guasoni, P. & Pratelli, M., 2005. "Super-replication and utility maximization in large financial markets," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 2006-2022, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dolinsky, Yan & Zouari, Jonathan, 2020. "Market delay and G-expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 694-707.
    2. Matteo Burzoni & Frank Riedel & H. Mete Soner, 2021. "Viability and Arbitrage Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 89(3), pages 1207-1234, May.
    3. Peter Bank & Yan Dolinsky, 2020. "A Note on Utility Indifference Pricing with Delayed Information," Papers 2011.05023, arXiv.org, revised Mar 2021.
    4. Thomas Krabichler & Josef Teichmann, 2020. "Deep Replication of a Runoff Portfolio," Papers 2009.05034, arXiv.org.
    5. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
    6. Thomas Krabichler & Josef Teichmann, 2020. "The Jarrow & Turnbull setting revisited," Papers 2004.12392, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
    2. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
    3. Yanhong Chen & Zachary Feinstein, 2022. "Set-valued dynamic risk measures for processes and for vectors," Finance and Stochastics, Springer, vol. 26(3), pages 505-533, July.
    4. Claudia Kluppelberg & Jianing Zhang, 2015. "Time-consistency of risk measures with GARCH volatilities and their estimation," Papers 1504.04774, arXiv.org, revised Feb 2016.
    5. Daniel Lacker, 2015. "Law invariant risk measures and information divergences," Papers 1510.07030, arXiv.org, revised Jun 2016.
    6. Zachary Feinstein & Birgit Rudloff, 2012. "Time consistency of dynamic risk measures in markets with transaction costs," Papers 1201.1483, arXiv.org, revised Dec 2012.
    7. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2019. "Time-consistency of risk measures: how strong is such a property?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 287-317, June.
    8. Hampus Engsner & Filip Lindskog & Julie Thoegersen, 2021. "Multiple-prior valuation of cash flows subject to capital requirements," Papers 2109.00306, arXiv.org.
    9. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
    10. Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
    11. De Lara, Michel & Leclère, Vincent, 2016. "Building up time-consistency for risk measures and dynamic optimization," European Journal of Operational Research, Elsevier, vol. 249(1), pages 177-187.
    12. Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
    13. Bellini, Fabio & Laeven, Roger J.A. & Rosazza Gianin, Emanuela, 2021. "Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures," European Journal of Operational Research, Elsevier, vol. 291(2), pages 438-446.
    14. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
    15. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
    16. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, July-Dece.
    17. Zachary Feinstein & Birgit Rudloff, 2015. "A Supermartingale Relation for Multivariate Risk Measures," Papers 1510.05561, arXiv.org, revised Jan 2018.
    18. E. Kromer & L. Overbeck & K. Zilch, 2019. "Dynamic systemic risk measures for bounded discrete time processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(1), pages 77-108, August.
    19. Lacker Daniel, 2018. "Law invariant risk measures and information divergences," Dependence Modeling, De Gruyter, vol. 6(1), pages 228-258, November.
    20. Bartl, Daniel, 2020. "Conditional nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 785-805.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1705.02087. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.