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Market viability via absence of arbitrage of the first kind

Citations

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Cited by:

  1. Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2024. "Arbitrage theory in a market of stochastic dimension," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 847-895, July.
  2. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
  3. Tahir CHOULLI & Martin SCHWEIZER, 2015. "Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales," Swiss Finance Institute Research Paper Series 15-15, Swiss Finance Institute.
  4. Gu, Lingqi & Lin, Yiqing & Yang, Junjian, 2016. "On the dual problem of utility maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1019-1035.
  5. David Criens, 2016. "Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets," Papers 1609.01621, arXiv.org, revised Dec 2017.
  6. David Criens, 2018. "Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-41, February.
  7. Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
  8. Christoph Czichowsky & Walter Schachermayer, 2014. "Duality Theory for Portfolio Optimisation under Transaction Costs," Papers 1408.5989, arXiv.org.
  9. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
  10. 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.
  11. Czichowsky, Christoph & Schachermayer, Walter & Yang, Junjian, 2017. "Shadow prices for continuous processes," LSE Research Online Documents on Economics 63370, London School of Economics and Political Science, LSE Library.
  12. Mohamed N. Abdelghani & Alexander V. Melnikov, 2017. "Optional Defaultable Markets," Risks, MDPI, vol. 5(4), pages 1-21, October.
  13. 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.
  14. 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.
  15. Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
  16. Michael Monoyios, 2020. "Infinite horizon utility maximisation from inter-temporal wealth," Papers 2009.00972, arXiv.org, revised Oct 2020.
  17. Christoph Czichowsky & Walter Schachermayer & Junjian Yang, 2014. "Shadow prices for continuous processes," Papers 1408.6065, arXiv.org, revised May 2015.
  18. Kardaras, Constantinos, 2015. "Valuation and parities for exchange options," LSE Research Online Documents on Economics 65535, London School of Economics and Political Science, LSE Library.
  19. Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2014. "A benchmark approach to risk-minimization under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 129-146.
  20. Czichowsky, Christoph & Schachermayer, Walter, 2016. "Duality theory for portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 63362, London School of Economics and Political Science, LSE Library.
  21. Oleksii Mostovyi, 2017. "Optimal consumption of multiple goods in incomplete markets," Papers 1705.02291, arXiv.org, revised Jan 2018.
  22. Aksamit, Anna & Choulli, Tahir & Deng, Jun & Jeanblanc, Monique, 2019. "No-arbitrage under additional information for thin semimartingale models," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3080-3115.
  23. David Criens & Mikhail Urusov, 2023. "Criteria for the absence of arbitrage in general diffusion markets," Papers 2306.11470, arXiv.org, revised Sep 2024.
  24. Claudio Fontana & Bernt Øksendal & Agnès Sulem, 2015. "Market Viability and Martingale Measures under Partial Information," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 15-39, March.
  25. Martin Herdegen, 2017. "No-Arbitrage In A Numéraire-Independent Modeling Framework," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 568-603, April.
  26. Salvador Cruz Rambaud, 2019. "Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
  27. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
  28. Yuri Kabanov & Constantinos Kardaras & Shiqi Song, 2016. "No arbitrage of the first kind and local martingale numéraires," Finance and Stochastics, Springer, vol. 20(4), pages 1097-1108, October.
  29. Martin HERDEGEN & Sebastian HERRMANN, 2014. "A Class of Strict Local Martingales," Swiss Finance Institute Research Paper Series 14-18, Swiss Finance Institute, revised Oct 2014.
  30. 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.
  31. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2012. "On arbitrages arising from honest times," Papers 1207.1759, arXiv.org, revised Jul 2013.
  32. Jacopo Mancin & Wolfgang J. Runggaldier, 2015. "On the Existence of Martingale Measures in Jump Diffusion Market Models," Papers 1511.08349, arXiv.org.
  33. Michael R. Tehranchi, 2014. "Arbitrage theory without a num\'eraire," Papers 1410.2976, arXiv.org, revised Jul 2015.
  34. Song, Shiqi, 2016. "Drift operator in a viable expansion of information flow," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2297-2322.
  35. Shiqi Song, 2014. "Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$," Papers 1405.4474, arXiv.org, revised Jul 2016.
  36. Huy N. Chau & Miklos Rasonyi, 2024. "A general framework for pricing and hedging under local viability," Papers 2411.19206, arXiv.org.
  37. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2018. "No-arbitrage under a class of honest times," Finance and Stochastics, Springer, vol. 22(1), pages 127-159, January.
  38. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
  39. 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.
  40. Eckhard Platen & Stefan Tappe, 2020. "No arbitrage and multiplicative special semimartingales," Papers 2005.05575, arXiv.org, revised Sep 2022.
  41. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.
  42. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2014. "On arbitrages arising with honest times," Finance and Stochastics, Springer, vol. 18(3), pages 515-543, July.
  43. Huy N. Chau & Andrea Cosso & Claudio Fontana & Oleksii Mostovyi, 2015. "Optimal investment with intermediate consumption under no unbounded profit with bounded risk," Papers 1509.01672, arXiv.org, revised Jun 2017.
  44. Winslow Strong, 2014. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Finance and Stochastics, Springer, vol. 18(3), pages 487-514, July.
  45. Michael Monoyios, 2020. "Duality for optimal consumption under no unbounded profit with bounded risk," Papers 2006.04687, arXiv.org, revised Dec 2021.
  46. Herdegen, Martin & Herrmann, Sebastian, 2016. "Single jump processes and strict local martingales," Stochastic Processes and their Applications, Elsevier, vol. 126(2), pages 337-359.
  47. Philipp Harms & Chong Liu & Ariel Neufeld, 2020. "Supermartingale deflators in the absence of a num\'eraire," Papers 2001.05906, arXiv.org, revised Mar 2021.
  48. Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
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