A note on extremality and completeness in financial markets with infinitely many risky assets

Luciano Campi

Rendiconti del Seminario Matematico della Università di Padova (2004)

  • Volume: 112, page 181-198
  • ISSN: 0041-8994

How to cite

top

Campi, Luciano. "A note on extremality and completeness in financial markets with infinitely many risky assets." Rendiconti del Seminario Matematico della Università di Padova 112 (2004): 181-198. <http://eudml.org/doc/108643>.

@article{Campi2004,
author = {Campi, Luciano},
journal = {Rendiconti del Seminario Matematico della Università di Padova},
keywords = {Artzner-Heath market; extremality of equivalent martingale measures; locally convex spaces; weak topology},
language = {eng},
pages = {181-198},
publisher = {Seminario Matematico of the University of Padua},
title = {A note on extremality and completeness in financial markets with infinitely many risky assets},
url = {http://eudml.org/doc/108643},
volume = {112},
year = {2004},
}

TY - JOUR
AU - Campi, Luciano
TI - A note on extremality and completeness in financial markets with infinitely many risky assets
JO - Rendiconti del Seminario Matematico della Università di Padova
PY - 2004
PB - Seminario Matematico of the University of Padua
VL - 112
SP - 181
EP - 198
LA - eng
KW - Artzner-Heath market; extremality of equivalent martingale measures; locally convex spaces; weak topology
UR - http://eudml.org/doc/108643
ER -

References

top
  1. [1] P. ARTZNER - D. HEATH, Approximate Completeness with Multiple Martingale Measures, Math. Finance, 5 (1995), pp. 1-11. Zbl0872.60032MR1322697
  2. [2] R. BÄTTIG, Completeness of securities market models-an operator point of view, Ann. Appl. Prob., 9 (1999), pp. 529-566. Zbl0941.91019MR1687390
  3. [3] R. BÄTTIG - R.A. JARROW, The Second Fundamental Theorem of Asset Pricing: A New Approach, The Review of Financial Studies, 12 (1999), pp. 1219-1235. 
  4. [4] S. BEGHDADI-SAKRANI, Calcul stochastique pour des mesures signées. In: Séminaire de Probabilités XXXVI, Lecture Notes in Math., 1801 (2003), pp. 366-382, Springer, Berlin, 2003. Zbl1035.60055MR1971598
  5. [5] C. DELLACHERIE, Une représentation intégrale des surmartingales à temps discret, Publ. Inst. Statist. Univ. Paris, 17 (2) (1968), pp. 1-17. Zbl0177.45401MR314109
  6. [6] R. G. DOUGLAS, On extremal measures and subspace density, Michigan Math. J., 11 (1964), pp. 644-652. Zbl0121.33102MR185427
  7. [7] R. G. DOUGLAS, On Extremal Measure and Subspace Density II, Proceedings of the American Math. Society, 17 (6) (1966), pp. 1363-1365. Zbl0171.34302MR205053
  8. [8] N. DUNFORD - J. T. SCHWARTZ, Linear Operators. Part I: General Theory, John Wiley and Sons, New York Chichester Brisbane Toronto Singapore, 1957. Zbl0635.47001MR1009162
  9. [9] R. A. JARROW - X. JIN - D. P. MADAN, The Second Fundamental Theorem of Asset Pricing, Math. Finance, 9 (1999), pp. 255-273. Zbl0991.91035MR1850793
  10. [10] R. A. JARROW - D. P. MADAN, Hedging contingent claims on semimartingales, Finance Stochast., 3 (1999), pp. 111-134. Zbl0926.60035MR1805323
  11. [11] M. A. NAIMARK, Extremal spectral functions of a symmetric operator, Bull. Acad. Sci. URSS Sér. Math., 11 (1947), pp. 327-344. Zbl0032.21501MR24062
  12. [12] L. NARICI - E. BECKENSTEIN, Topological vector spaces, Dekker, New York and Basel, 1985. Zbl0569.46001MR812056
  13. [13] J. RUIZ DE CHAVEZ, Le Théorème de Paul Lévy pour des mesures signées. In: J. Azema - M. Yor (eds.), Séminaire de Probabilités XVIII, Lect. Notes Math., 1059 (1984), pp. 245-255, Springer, Berlin Heidelberg New York. Zbl0537.60039MR770965
  14. [14] H. H. SCHAEFER, Topological vector spaces, MacMillan, London, 1966. Zbl0141.30503MR193469
  15. [15] M. YOR, Sous-espaces denses dans L1 ou H1 et representation des martingales. In: C. Dellacherie - P. A. Meyer - M. Weil (eds.), Séminaire de Probabilités XII, Lect. Notes Math., 649 (1976), pp. 265-309, Springer, Berlin Heidelberg New York. Zbl0391.60046MR520008

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.