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On the semimartingale property of discounted asset-price processes

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Cited by:

  1. 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.
  2. Kreher, Dörte, 2017. "Change of measure up to a random time: Details," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1565-1598.
  3. Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
  4. Nicolas Perkowski & David J. Promel, 2013. "Pathwise stochastic integrals for model free finance," Papers 1311.6187, arXiv.org, revised Jun 2016.
  5. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
  6. 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.
  7. 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.
  8. 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.
  9. Constantinos Kardaras, 2009. "Finitely additive probabilities and the Fundamental Theorem of Asset Pricing," Papers 0911.5503, arXiv.org.
  10. Constantinos Kardaras, 2011. "On the closure in the Emery topology of semimartingale wealth-process sets," Papers 1108.0945, arXiv.org, revised Jul 2013.
  11. 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.
  12. 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.
  13. Song, Shiqi, 2016. "Drift operator in a viable expansion of information flow," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2297-2322.
  14. 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.
  15. 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.
  16. 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.
  17. Oliver Janke & Qinghua Li, 2015. "Portfolio Optimization under Shortfall Risk Constraint," Papers 1501.07480, arXiv.org, revised Apr 2016.
  18. Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
  19. Dániel Ágoston Bálint & Martin Schweizer, 2019. "Properly Discounted Asset Prices Are Semimartingales," Swiss Finance Institute Research Paper Series 19-53, Swiss Finance Institute.
  20. Christoph Kuhn & Alexander Molitor, 2020. "Semimartingale price systems in models with transaction costs beyond efficient friction," Papers 2001.03190, arXiv.org, revised Aug 2021.
  21. Mathias Beiglbock & Walter Schachermayer & Bezirgen Veliyev, 2010. "A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage," Papers 1004.5559, arXiv.org.
  22. 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.
  23. 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.
  24. 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.
  25. Xiang Yu, 2014. "Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments," Papers 1408.1382, arXiv.org, revised Jul 2016.
  26. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2020. "The value of informational arbitrage," Finance and Stochastics, Springer, vol. 24(2), pages 277-307, April.
  27. 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.
  28. 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.
  29. Kardaras, Constantinos, 2024. "Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance," LSE Research Online Documents on Economics 121057, London School of Economics and Political Science, LSE Library.
  30. 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.
  31. Eckhard Platen & Stefan Tappe, 2020. "Exploiting arbitrage requires short selling," Papers 2011.12523, arXiv.org, revised Sep 2022.
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