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subject:"Arbitrage Pricing"
~person:"Perez-Ostafe, Lavinia"
~type_genre:"Article in journal"
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Search: subject_exact:"APT (Arbitrage Pricing Theory)"
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Arbitrage Pricing
Arbitrage pricing
4
Theorie
4
Theory
4
Transaction costs
4
Transaktionskosten
4
Arbitrage
3
Asymptotic arbitrage
2
Fractional Brownian motion
2
Stochastic process
2
Stochastischer Prozess
2
arbitrage
2
transaction costs
2
Binary market
1
Consistent price system
1
Fractional binary markets
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Large financial market
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Law of large numbers
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Martingal
1
Martingale
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Monotone convergence for local martingales
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Portfolio selection
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Portfolio-Management
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Stopping time
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consistent price system
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fractional binary markets
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Article in journal
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English
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Perez-Ostafe, Lavinia
Kabanov, Jurij M.
8
Fletcher, Jonathan
7
Le Van, Cuong
7
Rásonyi, Miklós
7
Page, Frank H.
5
Hahn, Guangsug
4
Jarrow, Robert A.
4
Jouini, Elyès
4
Napp, Clotilde
4
Wooders, Myrna Holtz
4
Barbachan, José Santiago Fajardo
3
Boisdeffre, Lionel de
3
Burzoni, Matteo
3
Cordero, Fernando
3
Cornet, Bernard
3
Faff, Robert W.
3
Fontana, Claudio
3
Kardaras, Constantinos
3
Khan, Ali
3
Maggis, Marco
3
Priestley, Richard
3
Rudebusch, Glenn D.
3
Schachermayer, Walter
3
Sun, Yeneng
3
Won, Dongchul
3
Abreu, Dilip
2
Allouch, Nizar
2
Alp, Ozge Sezgin
2
Antoniou, Antonios
2
Baker, Malcolm
2
Başak, Suleyman
2
Beaulieu, Marie-Claude
2
Benth, Fred Espen
2
Bielecki, Tomasz R.
2
Björk, Tomas
2
Bouchard, Bruno
2
Brunnermeier, Markus Konrad
2
Carr, Peter
2
Carvajal, Andrés
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International journal of theoretical and applied finance
2
Finance and stochastics
1
Mathematics and financial economics
1
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ECONIS (ZBW)
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1
Strong asymptotic arbitrage in the large fractional binary market
Cordero, Fernando
;
Perez-Ostafe, Lavinia
- In:
Mathematics and financial economics
10
(
2016
)
2
,
pp. 179-202
Persistent link: https://www.econbiz.de/10011485902
Saved in:
2
Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Cordero, Fernando
;
Perez-Ostafe, Lavinia
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011403853
Saved in:
3
Asymptotic arbitrage with small transaction costs
Klein, Irene
;
Lépinette, Emmanuel
;
Perez-Ostafe, Lavinia
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 917-939
Persistent link: https://www.econbiz.de/10010416822
Saved in:
4
Binary markets under transaction costs
Cordero, Fernando
;
Klein, Irene
;
Perez-Ostafe, Lavinia
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010437205
Saved in:
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