scholarly journals A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time

1992 ◽  
Vol 11 (4) ◽  
pp. 249-257 ◽  
Author(s):  
W. Schachermayer
Keyword(s):  
Hilbert Space ◽  
Asset Pricing ◽  
Discrete Time ◽  
Fundamental Theorem

scholarly journals A unified framework for robust modelling of financial markets in discrete time

2021 ◽  
Author(s):  
Jan Obłój ◽  
Johannes Wiesel
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Discrete Time ◽  
Fundamental Theorem ◽  
Unified Framework ◽  
Martingale Measures ◽  
Robust Modelling

AbstractWe unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in finite discrete time. In particular, we prove a fundamental theorem of asset pricing and a superhedging theorem which encompass the formulations of Bouchard and Nutz [12] and Burzoni et al. [13]. In bringing the two streams of literature together, we examine and compare their many different notions of arbitrage. We also clarify the relation between robust and classical ℙ-specific results. Furthermore, we prove when a superhedging property with respect to the set of martingale measures supported on a set $\Omega $ Ω of paths may be extended to a pathwise superhedging on $\Omega $ Ω without changing the superhedging price.

scholarly journals The Fundamental Theorem of Asset Pricing Under Transaction Costs

2011 ◽  
Author(s):  
Paolo Guasoni ◽  
Emmanuel Lepinette-Denis ◽  
Miklos Rasonyi
Keyword(s):  
Asset Pricing ◽  
Transaction Costs ◽  
Fundamental Theorem

scholarly journals On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria

2004 ◽  
Vol 14 (2) ◽  
pp. 201-221 ◽  
Author(s):  
Igor V. Evstigneev ◽  
Klaus Schurger ◽  
Michael I. Taksar
Keyword(s):  
Asset Pricing ◽  
Fundamental Theorem ◽  
No Arbitrage

Fundamental Theorem of Asset Pricing

2020 ◽  
pp. 135-146
Author(s):  
Pablo Koch-Medina ◽  
Cosimo Munari
Keyword(s):  
Asset Pricing ◽  
Fundamental Theorem

scholarly journals Lyapunov Type Theorems for Exponential Stability of Linear Skew-Product Three-Parameter Semiflows with Discrete Time

Axioms ◽  
2020 ◽  
Vol 9 (2) ◽  
pp. 47 ◽  
Author(s):  
Davor Dragičević ◽  
Ciprian Preda
Keyword(s):  
Hilbert Space ◽  
Exponential Stability ◽  
Discrete Time ◽  
Lyapunov Functions ◽  
Complete Characterization ◽  
Skew Product ◽  
Linear Perturbations

For linear skew-product three-parameter semiflows with discrete time acting on an arbitrary Hilbert space, we obtain a complete characterization of exponential stability in terms of the existence of appropriate Lyapunov functions. As a nontrivial application of our work, we prove that the notion of an exponential stability persists under sufficiently small linear perturbations.

The fundamental theorem of asset pricing for continuous processes under small transaction costs

2008 ◽  
Vol 6 (2) ◽  
pp. 157-191 ◽  
Author(s):  
Paolo Guasoni ◽  
Miklós Rásonyi ◽  
Walter Schachermayer
Keyword(s):  
Asset Pricing ◽  
Transaction Costs ◽  
Fundamental Theorem ◽  
Continuous Processes
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