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Arbitrage theory in a market of stochastic dimension

Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 847-895

Persistent link: https://www.econbiz.de/10014565276

Arbitrage concepts under trading restrictions in discrete-time financial markets

Fontana, Claudio; Runggaldier, Wolfgang J. - In: Journal of mathematical economics 92 (2021), pp. 66-80

Persistent link: https://www.econbiz.de/10012654141

Testing efficiency in small and large financial markets

Dare, Wale - 2017

Persistent link: https://www.econbiz.de/10011799698

Convergence of arbitrage-free discrete time Markovian market models

Leitner, Johannes - 2000

Persistent link: https://www.econbiz.de/10001450616

Arbitrage theory under countability

Cassese, Gianluca - 2000

Persistent link: https://www.econbiz.de/10001457571

A note on asset bubbles in continuous-time

Cassese, Gianluca - 2001

Persistent link: https://www.econbiz.de/10001577334

LIBOR rate models, related derivatives and model calibration

Schoenmakers, John (contributor); Coffey, Brian (contributor) - 1999 - [Elektronische Ressource]

Based on Jamshidians framework a general strategy for the quasi-analytical valuation of large classes of LIBOR derivatives will be developed. As a special case we will address the quasi-analytical approximation formula for swaptions of Brace Gatarek and Musiela and show that a similar formula...

Persistent link: https://www.econbiz.de/10001545438

No arbitrage condition for positive diffusion price processes

Delbaen, Freddy; Shirakawa, Hiroshi - In: Asia-Pacific financial markets 9 (2002) 3/4, pp. 159-168

Persistent link: https://www.econbiz.de/10001769311

Maximal arbitrage

Schürger, Klaus (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001825399

On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria

Evstigneev, Igor V. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001825768