We study the criteria of robust absence of arbitrage opportunity (RNA2) of the second kind as initially introduced by Rasony M. in the case of a continuous-time and infinite dimensional financial market model with proportional transaction costs allowing for bond market modeling. Robust no...

We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for a sequence of financial markets with small proportional transaction costs in terms of contiguity properties of sequences of equivalent probability measures induced by consistent...

This paper proves the Fundamental Theorem of Asset Pricing with transaction costs, when bid and ask prices follow locally bounded cadlag (right-continuous, left-limited) processes. The Robust No Free Lunch with Vanishing Risk (RNFLVR) condition for simple strategies is equivalent to the...

In the modern version of Arbitrage Pricing Theory suggested by Kabanov and Kramkov the fundamental fi nancially meaningful concept is an asymptotic arbitrage. The 'real world' large market is represented by a sequence of 'models' and, though each of them is arbitrage free, investors may obtain...

In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process evolving in the ray R_ S where S is the d-dimensional price process (whose first component is the numeraire). With transaction costs, absence of arbitrage opportunities is...

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...

The classical discrete time model of transaction costs relies on the assumption that the increments of the feasible portfolio process belong to the solvency set at each step. We extend this setting by assuming that any such increment belongs to the sum of an element of the solvency set and the...