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...

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...

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 present a general financial market model defined by a liquidation value process. This approach generalizes the conic models of Schachermayer and Kabanov where the transaction costs are proportional to the exchanged volumes of traded assets. This allows to consider financial market models...

The post-crisis financial reforms address the need for systemic regulation, focused not only on individual banks but also on the whole financial system. The regulator principal objective is to set banks' capital requirements equal to international minimum standards in order to mimimise systemic...

We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible maturities. Our framework is well adapted to the study of...

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...

We study the Leland model for hedging portfolios in the presence of a constant proportional transaction costs coefficient. The modi fied Leland's strategy defi ned in [2], contrarily to the classical one, ensures the asymptotic replication of a large class of payoff . In this setting, we prove a...