Add to ORKGWe extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportional transaction costs to general continuous-time settings. We prove that the (RNFL) condition is equivalent to the existence of a strictly consistent price system, i.e. a martingale evolving in the interior of the solvency cone of all portfolio positions which can be changed into positive ones paying transaction costs.ou
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with prop...
Abstract We develop a version of the fundamental theorem of asset pricing for discrete-time markets ...
We develop a version of the fundamental theorem of asset pricing fordiscrete-time markets with propo...
We propose a continuous time model for financial markets with proportional transactions costs and a ...
We propose a continuous time model for financial markets with proportional transactions costs and a ...
We propose a continuous time model for financial markets with proportional transactions costs and a ...
We present a version of the Fundamental Theorem of Asset Pricing and of the Hedging Theorem for secu...
We present a version of the Fundamental Theorem of Asset Pricing and of the Hedging Theorem for secu...
In contrast with the classical models of frictionless financial markets, market models with proport...
International audienceIn contrast with the classical models of frictionless financial markets, marke...
International audienceIn contrast with the classical models of frictionless financial markets, marke...
International audienceIn contrast with the classical models of frictionless financial markets, marke...
International audienceIn contrast with the classical models of frictionless financial markets, marke...
In the first part of this thesis, we introduce the concept of prospective strict no-arbitrage for di...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with prop...
Abstract We develop a version of the fundamental theorem of asset pricing for discrete-time markets ...
We develop a version of the fundamental theorem of asset pricing fordiscrete-time markets with propo...
We propose a continuous time model for financial markets with proportional transactions costs and a ...
We propose a continuous time model for financial markets with proportional transactions costs and a ...
We propose a continuous time model for financial markets with proportional transactions costs and a ...
We present a version of the Fundamental Theorem of Asset Pricing and of the Hedging Theorem for secu...
We present a version of the Fundamental Theorem of Asset Pricing and of the Hedging Theorem for secu...
In contrast with the classical models of frictionless financial markets, market models with proport...
International audienceIn contrast with the classical models of frictionless financial markets, marke...
International audienceIn contrast with the classical models of frictionless financial markets, marke...
International audienceIn contrast with the classical models of frictionless financial markets, marke...
International audienceIn contrast with the classical models of frictionless financial markets, marke...
In the first part of this thesis, we introduce the concept of prospective strict no-arbitrage for di...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with prop...
Abstract We develop a version of the fundamental theorem of asset pricing for discrete-time markets ...
We develop a version of the fundamental theorem of asset pricing fordiscrete-time markets with propo...