The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective system of topological spaces and Radon...

El propósito de este trabajo, es analizar las propiedades de dinámica comparativa de un modelo dinámico no estocástico bajo previsión perfecta con dos ecuaciones diferenciales simultáneas. El modelo presenta estabilidad de punto de silla con respecto a su posición de equilibrio, lo que...

We consider one-period maximin portfolios to hedge the interest-rate risk of default-free and option-free bond portfolios. Our framework allows for general changes on the interest rates, and neither requires the specification of the yield curve dynamic nor the estimation of a model. We make...

This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one period no-arbitrage approach of Financial Economics (Ingersoll (1987)). Under quite weak assumptions on the interest rate behavior several shadow riskless assets are introduced by means of...

This paper studies the optimal reinsurance problem when risk is measured by a general risk measure. Necessary and sufficient optimality conditions are given for a wide family of risk measures, including deviation measures, expectation bounded risk measures and coherent measures of risk. The...

We develop a mathematical programing approach in order to measure the arbitrage size in bond markets. Transaction costs may be incorporated. The obtained arbitrage measures have two interesting interpretations. On the one hand they provide the highest available arbitrage profit with respect to...

Several authors have introduced different ways to measure integration between financial markets. Most of them are derived from the basic assumptions about asset prices, like the Law of One Price or the absence of arbitrage opportunities. Two perfectly integrated markets must give identical...

This paper deals with the optimal reinsurance problem if both insurer and reinsurer are facing risk and uncertainty, though the classical uncertainty free case is also included. The insurer and reinsurer degrees of uncertainty do not have to be identical. The decision variable is not the...

This paper deals with the optimal reinsurance problem if both insurer and reinsurer are facing risk and uncertainty, though the classical uncertainty free case is also included. The insurer and reinsurer degrees of uncertainty do not have to be identical. The decision variable is not the...