A teacher's note on no-arbitrage criteria

Yuri Kabanov; Christophe Stricker

Séminaire de probabilités de Strasbourg (2001)

  • Volume: 35, page 149-152

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Kabanov, Yuri, and Stricker, Christophe. "A teacher's note on no-arbitrage criteria." Séminaire de probabilités de Strasbourg 35 (2001): 149-152. <http://eudml.org/doc/114055>.

@article{Kabanov2001,
author = {Kabanov, Yuri, Stricker, Christophe},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {no-arbitrage criteria; martingale measure; Kreps-Yan theorem},
language = {eng},
pages = {149-152},
publisher = {Springer - Lecture Notes in Mathematics},
title = {A teacher's note on no-arbitrage criteria},
url = {http://eudml.org/doc/114055},
volume = {35},
year = {2001},
}

TY - JOUR
AU - Kabanov, Yuri
AU - Stricker, Christophe
TI - A teacher's note on no-arbitrage criteria
JO - Séminaire de probabilités de Strasbourg
PY - 2001
PB - Springer - Lecture Notes in Mathematics
VL - 35
SP - 149
EP - 152
LA - eng
KW - no-arbitrage criteria; martingale measure; Kreps-Yan theorem
UR - http://eudml.org/doc/114055
ER -

References

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  2. [2] Delbaen F.The Dalang-Morton-Willinger theorem. Preprint. 
  3. [3] Harrison M., Pliska S.Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and their Applications, 11, (1981), 215-260. Zbl0482.60097MR622165
  4. [4] Jacod J., Shiryaev A.N.Local martingales and the fundamental asset pricing theorem in the discrete-time case. Finance and Stochastics, 2 (1998), 3, 259-273. Zbl0903.60036MR1809522
  5. [5] Kreps D.M.Arbitrage and equilibrium in economies with infinitely many commodities. J. Math. Economics, 8 (1981), 15-35. Zbl0454.90010MR611252
  6. [6] Kabanov Yu M., Kramkov D.O.No-arbitrage and equivalent martingale measure : a new proof of the Harrison-Pliska theorem. Probab. Theory its Appl., 39 (1994), 3, 523-527. Zbl0834.60045MR1347191
  7. [7] Rogers L.C.G.Equivalent martingale measures and no-arbitrage. Stochastics and Stochastic Reports, 51 (1994), 41-51. Zbl0851.60042MR1380761
  8. [8] Schachermayer W.A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Insurance: Math. Econ., 11 (1992), 1-9. Zbl0781.90010MR1211972
  9. [9] Shiryaev A.N.Essentials of Stochastic Mathematical Finance. World Scientific, 1999. Zbl0926.62100MR1695318
  10. [10] Stricker Ch.Arbitrage et lois de martingale. Annales de l'Institut Henri Poincaré. Probab. et Statist., 26 (1990), 3, 451-460. Zbl0704.60045MR1066088
  11. [11] Yan J.A.Caractérisation d'une classe d'ensembles convexes de L1 et H1. Séminaire de Probabilité XIV. Lect. Notes Math., 784 (1980), 220-222. Zbl0429.60004MR580127

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