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Displaying similar documents to “A note on extremality and completeness in financial markets with infinitely many risky assets”

Equivalent or absolutely continuous probability measures with given marginals

Patrizia Berti, Luca Pratelli, Pietro Rigo, Fabio Spizzichino (2015)

Dependence Modeling

Similarity:

Let (X,A) and (Y,B) be measurable spaces. Supposewe are given a probability α on A, a probability β on B and a probability μ on the product σ-field A ⊗ B. Is there a probability ν on A⊗B, with marginals α and β, such that ν ≪ μ or ν ~ μ ? Such a ν, provided it exists, may be useful with regard to equivalent martingale measures and mass transportation. Various conditions for the existence of ν are provided, distinguishing ν ≪ μ from ν ~ μ.

Incompleteness of the bond market with Lévy noise under the physical measure

Michał Barski (2015)

Banach Center Publications

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The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy measure has a density function is shown. The required elements of the theory of stochastic integration over the compensated jump measure under a martingale measure are presented and the corresponding integral representation of local martingales is proven.

Arbitrage in a simple model with general transaction costs

Jakub Olejnik (2005)

Applicationes Mathematicae

Similarity:

We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.