Displaying similar documents to “Martingales and arbitrage: a new look.”

Projective limits of vector measures.

Fidel José Fernández y Fernández-Arroyo, Pedro Jiménez Guerra (1990)

Revista Matemática de la Universidad Complutense de Madrid

Similarity:

A necessary and sufficient condition for the existence of the projective limit of measures with values in a locally convex space is given. A similar theorem for measures with values in different locally convex spaces (under certain conditions) is given too (in this case, the projective limit is valued in the projective limit of these spaces). Finally, a result about the projective limit of vector measures is stated.

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

Michał Barski (2015)

Banach Center Publications

Similarity:

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.