Add to ORKGGuasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio
Various regression and smoothing techniques have been suggested for estimating the term structure. ...
Transaction costs, Incomplete information, Arbitrage, Hedging, G10, 91B28, 60G42,
International audienceWe consider a model in which any investment opportunity is described in terms ...
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this not...
International audienceThis note deals with criteria of absence of arbitrage opportunities for an inv...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
We consider a multi-asset discrete-time model of a financial market with proportional transaction co...
Abstract There is an extensive literature claiming that it is often difficult to make use of arbitra...
We consider a model in which any investment opportunity is described in terms of cash flows. We don'...
It is shown by example and by analytic argument that the no-arbitrage bounds can be narrowed by ruli...
We establish a simple no-arbitrage criterion that reduces the absence of arbitrage opportunities und...
In the first part of this thesis, we introduce the concept of prospective strict no-arbitrage for di...
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
Various regression and smoothing techniques have been suggested for estimating the term structure. ...
Transaction costs, Incomplete information, Arbitrage, Hedging, G10, 91B28, 60G42,
International audienceWe consider a model in which any investment opportunity is described in terms ...
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this not...
International audienceThis note deals with criteria of absence of arbitrage opportunities for an inv...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
We consider a multi-asset discrete-time model of a financial market with proportional transaction co...
Abstract There is an extensive literature claiming that it is often difficult to make use of arbitra...
We consider a model in which any investment opportunity is described in terms of cash flows. We don'...
It is shown by example and by analytic argument that the no-arbitrage bounds can be narrowed by ruli...
We establish a simple no-arbitrage criterion that reduces the absence of arbitrage opportunities und...
In the first part of this thesis, we introduce the concept of prospective strict no-arbitrage for di...
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
Various regression and smoothing techniques have been suggested for estimating the term structure. ...
Transaction costs, Incomplete information, Arbitrage, Hedging, G10, 91B28, 60G42,
International audienceWe consider a model in which any investment opportunity is described in terms ...