The Banach space of workable contingent claims in arbitrage theory

Freddy Delbaen; Walter Schachermayer

Annales de l'I.H.P. Probabilités et statistiques (1997)

  • Volume: 33, Issue: 1, page 113-144
  • ISSN: 0246-0203

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Delbaen, Freddy, and Schachermayer, Walter. "The Banach space of workable contingent claims in arbitrage theory." Annales de l'I.H.P. Probabilités et statistiques 33.1 (1997): 113-144. <http://eudml.org/doc/77558>.

@article{Delbaen1997,
author = {Delbaen, Freddy, Schachermayer, Walter},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {convex cone of maximal admissible contingent claims; mathematical finance},
language = {eng},
number = {1},
pages = {113-144},
publisher = {Gauthier-Villars},
title = {The Banach space of workable contingent claims in arbitrage theory},
url = {http://eudml.org/doc/77558},
volume = {33},
year = {1997},
}

TY - JOUR
AU - Delbaen, Freddy
AU - Schachermayer, Walter
TI - The Banach space of workable contingent claims in arbitrage theory
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1997
PB - Gauthier-Villars
VL - 33
IS - 1
SP - 113
EP - 144
LA - eng
KW - convex cone of maximal admissible contingent claims; mathematical finance
UR - http://eudml.org/doc/77558
ER -

References

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  1. [1] J.P. Ansel and C. Stricker, Couverture des actifs contingents, Ann. Inst. Henri Poincaré, Vol. 30, 1994, pp. 303-315. Zbl0796.60056MR1277002
  2. [2] F. Delbaen and W. Schachermayer, A General Version of the Fundamental Theorem of Asset Pricing, Mathematische Annalen, Vol. 300, 1994, pp. 463-520. Zbl0865.90014MR1304434
  3. [3] F. Delbaen and W. Schachermayer, A simple counter-example to several problems in the theory of asset pricing, which arises generically in incomplete markets, to appear in Mathematical Finance, 1997. Zbl0910.60038
  4. [4] F. Delbaen and W. Schachermayer, The No-Arbitrage Property under a Change of Nu-méraire, Stochastics and Stochastic Reports, Vol. 53, 1995, pp. 213-226. Zbl0857.90007MR1381678
  5. [5] F. Delbaen and W. Schachermayer, Arbitrage and Free Lunch with Bounded Risk for Unbounded Continuous Processes, Mathematical Finance, Vol. 4, 1994, pp. 343-348 Zbl0884.90024
  6. [6] F. Delbaen and H. Shirakawa, A Note on the No Arbitrage Condition for International Financial Markets, to appear in Financial Engineering and the Japanese Markets, 1997. Zbl1153.91483
  7. [7] N. Dunford and J. Schwartz, Linear Operators, Vol. I, Interscience, 1958. Zbl0084.10402MR117523
  8. [8] M. Emery, Compensation de processus non localement intégrables, Séminaire de Probabilités XIV, Lecture Notes in Mathematics, Vol. 784, 1980, pp. 152-160. Zbl0428.60054MR580120
  9. [9] M. Harrison and D. Kreps, Martingales and Arbitrage in Multiperiod Security Markets. Journal of Economic Theory, 1979, Vol. 20, pp. 381-408. Zbl0431.90019MR540823
  10. [10] M. Harrison and S. Pliska, Martingales and Stochastic Integrals in the Theory of Continuous Trading, Stochastic Processes and their Applications, Vol. 11, 1981, pp. 215-260. Zbl0482.60097MR622165
  11. [11] J. Jacod, Calcul stochastique et problèmes de martingale, Springer VerlagBerlin, Heidelberg, New York, 1979. Zbl0414.60053MR542115
  12. [12] D. Kreps, Arbitrage and Equilibrium in Economies with Infinitely Many CommoditiesJ. of Math. Econ., Vol. 8, 1981, pp. 15-35. Zbl0454.90010MR611252
  13. [13] Ph. Protter, Stochastic Integration and Differential Equations, a New Approach, Springer VerlagBerlin, Heidelberg, New York, 1990 Zbl0694.60047MR1037262
  14. [14] W. Schachermayer, A Counterexample to Several Problems in the Theory of Asset Pricing, Mathematical Finance, Vol. 3, 1993, pp. 217-230 Zbl0884.90050

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