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Local martingales and the fundamental asset pricing theorems in the discrete-time case

Jacod, J.; Shiryaev, A.N. - In: Finance and Stochastics 2 (1998) 3, pp. 259-273

This paper is devoted to giving simpler proofs of the two fundamental theorems of asset pricing theory, in iscrete-time and finite horizon: namely the no-arbitrage theorem, and the market completeness theorem. Some elementary but apparently new results are also given on discrete-time martingale...

Persistent link: https://www.econbiz.de/10005613446

Editorial

Shiryaev, A.N.; Shreve, S.E.; Sondermann, D. - In: Finance and Stochastics 5 (2001) 1, pp. 1-2

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Persistent link: https://www.econbiz.de/10005184361

Editorial

Shiryaev, A.N.; Shreve, S.E.; Sondermann, D. - In: Finance and stochastics 5 (2001) 1, pp. 1-2

Persistent link: https://www.econbiz.de/10008217239

Local martingales and the fundamental asset pricing theorems in the discrete-time case

Jacod, J.; Shiryaev, A.N. - In: Finance and stochastics 2 (1998) 3, pp. 259-274

Persistent link: https://www.econbiz.de/10008218812

ARTICLES - On Esscher Transforms in Discrete Finance Models

Bühlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A.N. - In: Astin bulletin : the journal of the International … 28 (1998) 2, pp. 171-186

Persistent link: https://www.econbiz.de/10008218843

ARTICLES - On Esscher Transforms in Discrete Finance Models

Bühlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A.N. - In: Astin bulletin : the journal of the International … 19980, pp. 171-186

Persistent link: https://www.econbiz.de/10008220945

Local Martingales and the Fundamental Asset Pricing Theorems in the Discrete-Time Case

Jacod, Jean - 1998

This paper is devoted to giving simpler proofs of the two fundamental theorems of asset pricing theory, in discrete-time and finite horizon: namely the no-arbitrage theorem, and the market completeness theorem. Some elementary but apparently new results are also given on discrete-time martingale...

Persistent link: https://www.econbiz.de/10012790504

The behavior of a firm subject to stochastic regulatory review : Comment

Ziemba, William T. - In: The Bell journal of economics and management science 5 (1974) 2, pp. 710-712

Persistent link: https://www.econbiz.de/10003028916

Computational algorithms for convex stochastic programs with simple recourse

Ziemba, William T. - In: Operations research 18 (1970) 3, pp. 414-431

Persistent link: https://www.econbiz.de/10003028931

A myopic capital budgeting model

Ziemba, William T. - In: Journal of financial and quantitative analysis : JFQA 4 (1969) 3, pp. 305-327

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