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On the minimal martingale measure and the Föllmer-Schweizer decomposition
Schweizer, Martin - 1994
Persistent link: https://www.econbiz.de/10000895886
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A result on integral functionals with infinitely many constraints
Choulli, Tahir; Schweizer, Martin - 2015 - This version: 14.09.2015
constraints, and we briefly sketch an application in arbitrage theory …
Persistent link: https://www.econbiz.de/10011412336
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A note on the condition of no unbounded profit with bounded risk
Takaoka, Koichiro; Schweizer, Martin - In: Finance and stochastics 18 (2014) 2, pp. 393-405
Persistent link: https://www.econbiz.de/10010340680
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Arbitrage in markets with bid-ask spreads : the fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
Rola, Przemysław - In: Annals of finance 11 (2015) 3/4, pp. 453-475
Persistent link: https://www.econbiz.de/10011459517
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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011459932
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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Pointwise arbitrage pricing theory in discrete time
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, … - In: Mathematics of operations research 44 (2019) 3, pp. 1034-1057
Persistent link: https://www.econbiz.de/10012105893
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No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475
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FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161