M6 – On Minimal Market Models and Minimal MartingaleMeasures

The well-known absence-of-arbitrage condition NFLVR from the fundamentaltheorem of asset pricing splits into two conditions, called NA and NUPBR.We give a literature overview of several equivalent reformulations of NUPBR;these include existence of a growth-optimal portfolio, existence of the numeraireportfolio, and for continuous asset prices the structure condition (SC). As aconsequence, the minimal market model of E. Platen is seen to be directly linkedto the minimal martingale measure.[...]