It is shown that, in a semimartingale financial market model, there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes. Copyright...

Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints. We deal with random endowment density...

An implied savings account for a given term structure model is a strictly positive predictable process A of finite variation such that zero coupon bond prices are given by $B(t,T)=E^Q\left[{A_t \over A_T} \Big| {\cal F}_t \right]$ for some Q equivalent to the original probability measure. We...

A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation as they usually appear in frictionless markets. In this paper, we show how the models with and...

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths, it is well known that the variance swap...