Add to ORKGAbstract We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- de...
We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportio...
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with prop...
International audienceWe develop a version of the fundamental theorem of asset pricing for discrete-...
International audienceWe develop a version of the fundamental theorem of asset pricing for discrete-...
We develop a version of the fundamental theorem of asset pricing fordiscrete-time markets with propo...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov’s approach ...
This thesis deals with the relationship between no-arbitrage and (strictly) consistent price process...
Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become ind...
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...
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- de...
We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportio...
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with prop...
International audienceWe develop a version of the fundamental theorem of asset pricing for discrete-...
International audienceWe develop a version of the fundamental theorem of asset pricing for discrete-...
We develop a version of the fundamental theorem of asset pricing fordiscrete-time markets with propo...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov’s approach ...
This thesis deals with the relationship between no-arbitrage and (strictly) consistent price process...
Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become ind...
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...
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- de...
We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportio...