Add to ORKGWe consider a multi-asset discrete-time model of a financial market with proportional transaction costs and efficient friction and prove necessary and sufficient conditions for the absence of arbitrage. Our main result is an extension of the Dalang-Morton-Willinger theorem. As an application, we establish a hedging theorem giving a description of the set of initial endowments which allows to super-replicate a given contingent claim.Transaction costs, arbitrage, hedging, solvency
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction co...
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 prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discret...
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- de...
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial ...
Motivated by applications to bond markets, we propose a multivariate framework for discrete time fin...
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...
In contrast with the classical models of frictionless financial markets, market models with proport...
We consider a discrete-time financial model in a general sample space with penalty costs on short po...
We consider a discrete-time financial model in a general sample space with penalty costs on short po...
We consider a continuous time multivariate financial market with proportional transaction costs and ...
We consider a nondominated model of a discrete-time financial market where stocks are traded dynamic...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction co...
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 prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discret...
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- de...
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial ...
Motivated by applications to bond markets, we propose a multivariate framework for discrete time fin...
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...
In contrast with the classical models of frictionless financial markets, market models with proport...
We consider a discrete-time financial model in a general sample space with penalty costs on short po...
We consider a discrete-time financial model in a general sample space with penalty costs on short po...
We consider a continuous time multivariate financial market with proportional transaction costs and ...
We consider a nondominated model of a discrete-time financial market where stocks are traded dynamic...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction co...
We discuss fundamental questions of Mathematical Finance such as arbitrage and hedging in the contex...