Market imperfections, equilibrium and arbitrage
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- Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
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Cited by:
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
- Jouini, Elyes, 2000.
"Price functionals with bid-ask spreads: an axiomatic approach,"
Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 547-558, December.
- Elyès Jouini, 1997. "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers 97-05, Center for Research in Economics and Statistics.
- Elyès Jouini, 1999. "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-038, New York University, Leonard N. Stern School of Business-.
- Elyès Jouini, 2000. "Price functionals with bid–ask spreads: an axiomatic approach," Post-Print halshs-00167144, HAL.
- Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.
- Nikolai Dokuchaev, 2002. "Pricing rule based on non-arbitrage arguments for random volatility and volatility smile," Papers math/0205120, arXiv.org.
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More about this item
Keywords
transaction costs; shortsales constraints; frictions; market imperfections; arbitrage; viability; different borrowing and lending rates; borrowing constraints; arbitrage pricing;All these keywords.
JEL classification:
- G - Financial Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-12-14 (Corporate Finance)
- NEP-FIN-2003-12-14 (Finance)
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