Add to ORKGInternational audienceWe discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the ``no-friction" case, we retrieve the result of Kabanov and Stricker (2003)
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction co...
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discret...
In this note, we consider a general discrete time financial market with proportional transaction cos...
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial ...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
We discuss fundamental questions of Mathematical Finance such as arbitrage and hedging in the contex...
In the first part of this thesis, we introduce the concept of prospective strict no-arbitrage for di...
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- de...
We consider a multi-asset discrete-time model of a financial market with proportional transaction co...
International audienceIn this note, we consider a general discrete time financial market with propor...
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraint...
Standard models for \u85nancial markets are based on the simplifying assumption that trading orders ...
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction co...
This thesis deals with three problems of financial mathematics in the markets with proportional tran...
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction co...
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discret...
In this note, we consider a general discrete time financial market with proportional transaction cos...
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial ...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
We discuss fundamental questions of Mathematical Finance such as arbitrage and hedging in the contex...
In the first part of this thesis, we introduce the concept of prospective strict no-arbitrage for di...
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- de...
We consider a multi-asset discrete-time model of a financial market with proportional transaction co...
International audienceIn this note, we consider a general discrete time financial market with propor...
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraint...
Standard models for \u85nancial markets are based on the simplifying assumption that trading orders ...
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction co...
This thesis deals with three problems of financial mathematics in the markets with proportional tran...
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction co...
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discret...
In this note, we consider a general discrete time financial market with proportional transaction cos...