We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing by B. Wong and C.C. Heyde (Stochastics, 2010) in the context of incomplete Itô-process models. We show that their approach can only work in the known case of a complete financial market and give an explicit counterexample.On donne une analyse critique de la preuve du théorème fondamental d'évaluation d'actifs proposé dans le papier Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing par B. Wong et C.C. Heyde (Stochastics, 2010) dans le cadre de modèles incomplets dirigés par des processus d'Itô. On démontre que la technique de Wong e...
Several authors have pointed out the possible absence of martingale measures for static arbitrage-fr...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the...
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive ...
This work aims at a deeper understanding of the mathematical implications of the economically-sound ...
Abstract This work aims at a deeper understanding of the mathematical implica-tions of the economica...
We study a continuous-time financial market with continuous price processes under model uncertainty,...
This paper has two purposes. The first is to extend the notions of an n-dimensional semimartingale a...
Este trabajo identifica las principales contribuciones de Stephen Ross a la definición de los princi...
Pricing and Hedging in Incomplete Markets: Fundamental Theorems and Robust Utility Maximizatio
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates o...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
International audienceThis paper does not suppose a priori that the evolution of the price of a fina...
Abstract. The Fundamental Theorem of Asset Pricing states- roughly speaking-that the absence of arbi...
Several authors have pointed out the possible absence of martingale measures for static arbitrage-fr...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the...
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive ...
This work aims at a deeper understanding of the mathematical implications of the economically-sound ...
Abstract This work aims at a deeper understanding of the mathematical implica-tions of the economica...
We study a continuous-time financial market with continuous price processes under model uncertainty,...
This paper has two purposes. The first is to extend the notions of an n-dimensional semimartingale a...
Este trabajo identifica las principales contribuciones de Stephen Ross a la definición de los princi...
Pricing and Hedging in Incomplete Markets: Fundamental Theorems and Robust Utility Maximizatio
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates o...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
International audienceThis paper does not suppose a priori that the evolution of the price of a fina...
Abstract. The Fundamental Theorem of Asset Pricing states- roughly speaking-that the absence of arbi...
Several authors have pointed out the possible absence of martingale measures for static arbitrage-fr...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
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