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Jumps or staleness?

Kolokolov, Aleksey; Renò, Roberto - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 516-532

Persistent link: https://www.econbiz.de/10015053424

Equilibrium asset returns in financial markets

Madan, Dilip B.; Schoutens, Wim - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10012013852

How non-arbitrage, viability and numéraire portfolio are related

Choulli, Tahir; Deng, Jun; Ma, Junfeng - In: Finance and stochastics 19 (2015) 4, pp. 719-741

Persistent link: https://www.econbiz.de/10011420437

Making no-arbitrage discounting-invariant : a new FTAP beyond NFLVR and NUPBR

Bálint, Dániel Ágoston; Schweizer, Martin - 2018 - This version: March 16, 2018

In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious shortcoming that they depend crucially on the way prices are discounted. To avoid this economically unnatural behaviour, we introduce a new way of defining “absence of...

Persistent link: https://www.econbiz.de/10011899592

About stochastic calculus in presence of jumps at predictable stopping times

Galtchouk, Leonid - In: Journal of mathematical finance 6 (2016) 3, pp. 443-456

Persistent link: https://www.econbiz.de/10011583560

Properly discounted asset prices are semimartingales

Bálint, Dániel; Schweizer, Martin - 2019 - This version: October 3, 2019

not a priori semimartingales). Traders are allowed to use simple (piecewise constant) strategies. We prove that under a … strategy with positive wealth must follow semimartingales. We also establish a corresponding version of the fundamental theorem …

Persistent link: https://www.econbiz.de/10012134260