Approximation par des variétés algébriques dans les espaces hilbertiens (Variation sur un thème de Vituškin)
Approximation properties and universal Banach spaces
Arbitrage and pricing in a general model with flows
We study a fundamental issue in the theory of modeling of financial markets. We consider a model where any investment opportunity is described by its cash flows. We allow for a finite number of transactions in a finite time horizon. Each transaction is held at a random moment. This places our model closer to the real world situation than discrete-time or continuous-time models. Moreover, our model creates a general framework to consider markets with different types of imperfection: proportional...