Zobrazeno 1 - 10
of 98
pro vyhledávání: '"Klein, Irene"'
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their relation to each other leads to the question when a certain minimax in
Externí odkaz:
http://arxiv.org/abs/2204.07115
We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p < \infty$. This extends the results of Yuri Kabanov and Christophe Stricker \c
Externí odkaz:
http://arxiv.org/abs/1705.02087
Publikováno v:
Modern Stochastics: Theory and Applications 2018, Vol. 5, No. 4, 415-428
We consider a family of mixed processes given as the sum of a fractional Brownian motion with Hurst parameter $H\in(3/4,1)$ and a multiple of an independent standard Brownian motion, the family being indexed by the scaling factor in front of the Brow
Externí odkaz:
http://arxiv.org/abs/1602.02953
In the context of large financial markets we formulate the notion of \emph{no asymptotic free lunch with vanishing risk} (NAFLVR), under which we can prove a version of the fundamental theorem of asset pricing (FTAP) in markets with an (even uncounta
Externí odkaz:
http://arxiv.org/abs/1412.7562
Publikováno v:
Stochastic Process. Appl., Volume 126, Issue 2 (2016), 315--336
A fractional binary market is an approximating sequence of binary models for the fractional Black-Scholes model, which Sottinen constructed by giving an analogue of the Donsker's theorem. In a binary market the arbitrage condition can be expressed as
Externí odkaz:
http://arxiv.org/abs/1401.7850
We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid num\'eraire. We argue that this fe
Externí odkaz:
http://arxiv.org/abs/1310.0032
We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for large financial markets with small proportional transaction costs $\la_n$ on market $n$ in terms of contiguity properties of sequenc
Externí odkaz:
http://arxiv.org/abs/1211.0443
Publikováno v:
International Journal of Theoretical and Applied Finance (IJTAF), Volume No.17, Issue No. 5., 2014
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of \lambda-consistent price systems
Externí odkaz:
http://arxiv.org/abs/1209.5254