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No-Arbitrage Concepts in Topological Vector Lattices

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Abstract

We provide a general framework for no-arbitrage concepts in topological vector lattices, which covers many of the well-known no-arbitrage concepts as particular cases. The main structural condition which we impose is that the outcomes of trading strategies with initial wealth zero and those with positive initial wealth have the structure of a convex cone. As one consequence of our approach, the concepts NUPBR, NAA1 and NA1 may fail to be equivalent in our general setting. Furthermore, we derive abstract versions of the fundamental theorem of asset pricing. We also consider a nancial market with semimartingales which does not need to have a numéraire, and derive results which show the links between the no-arbitrage concepts by only using the theory of topological vector lattices and well-known results from stochastic analysis in a sequence of short proofs.

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  • Eckhard Platen & Stefan Tappe, 2020. "No-Arbitrage Concepts in Topological Vector Lattices," Research Paper Series 410, Quantitative Finance Research Centre, University of Technology, Sydney.
    • Handle: RePEc:uts:rpaper:410
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    Cited by:

    1. Eckhard Platen & Stefan Tappe, 2020. "The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios," Research Paper Series 411, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Eckhard Platen & Stefan Tappe, 2020. "No arbitrage and multiplicative special semimartingales," Papers 2005.05575, arXiv.org, revised Sep 2022.
    3. Felix-Benedikt Liebrich & Marco Maggis & Gregor Svindland, 2020. "Model Uncertainty: A Reverse Approach," Papers 2004.06636, arXiv.org, revised Mar 2022.
    4. Eckhard Platen & Stefan Tappe, 2020. "Exploiting arbitrage requires short selling," Papers 2011.12523, arXiv.org, revised Sep 2022.

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