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No-arbitrage criteria for financial markets with transaction costs and incomplete information
Vallière, Dimitri De; Kabanov, Yuri; Stricker, Christophe - In: Finance and Stochastics 11 (2007) 2, pp. 237-251
Persistent link: https://www.econbiz.de/10005390739
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No-arbitrage criteria for financial markets with transaction costs and incomplete information
De Vallière, Dimitry; Kabanov, Yuri; Stricker, Christophe - In: Finance and stochastics 11 (2007) 2, pp. 237-251
Persistent link: https://www.econbiz.de/10003439760
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Small transaction costs, absence of arbitrage and consistent price systems
Grépat, Julien; Kabanov, Yuri - In: Finance and Stochastics 16 (2012) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10010847047
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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs
Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine (Paris IX) - 2012
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...
Persistent link: https://www.econbiz.de/10011073059
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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel; Kabanov, Yuri - In: Finance and Stochastics 16 (2012) 1, pp. 135-154
Persistent link: https://www.econbiz.de/10009400205
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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Kabanov, Yuri; Lépinette-Denis, Emmanuel - Université Paris-Dauphine (Paris IX) - 2012
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...
Persistent link: https://www.econbiz.de/10010712481
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Bond markets where prices are driven by a general marked point process
Björk, Tomas; Kabanov, Jurij M.; Runggaldier, Wolfgang J. - 1995
Persistent link: https://www.econbiz.de/10000928616
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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs.
Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine - 2012
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...
Persistent link: https://www.econbiz.de/10008460930
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Small transaction costs, absence of arbitrage and consistent price systems
Grépat, Julien; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10009562323
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No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475