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No-Arbitrage In A Numéraire-Independent Modeling Framework

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  • Martin Herdegen

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  • Martin Herdegen, 2017. "No-Arbitrage In A Numéraire-Independent Modeling Framework," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 568-603, April.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:2:p:568-603
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-2
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    References listed on IDEAS

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    1. Dirk Becherer, 2001. "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, vol. 5(3), pages 327-341.
    2. Mark Loewenstein & Gregory A. Willard, 2000. "Local martingales, arbitrage, and viability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 16(1), pages 135-161.
    3. Eva Strasser, 2005. "Characterization of arbitrage-free markets," Papers math/0503473, arXiv.org.
    4. Paolo Guasoni & Miklós Rásonyi, 2015. "Fragility of arbitrage and bubbles in local martingale diffusion models," Finance and Stochastics, Springer, vol. 19(2), pages 215-231, April.
    5. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
    6. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
    7. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
    8. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    9. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
    10. Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras, 2005. "Diversity and relative arbitrage in equity markets," Finance and Stochastics, Springer, vol. 9(1), pages 1-27, January.
    11. Constantinos Kardaras, 2012. "Market viability via absence of arbitrage of the first kind," Finance and Stochastics, Springer, vol. 16(4), pages 651-667, October.
    12. Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October.
    13. Martin HERDEGEN & Sebastian HERRMANN, 2014. "A Class of Strict Local Martingales," Swiss Finance Institute Research Paper Series 14-18, Swiss Finance Institute, revised Oct 2014.
    14. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
    15. Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July.
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    Cited by:

    1. Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2024. "Quantifying dimensional change in stochastic portfolio theory," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 977-1021, July.
    2. Dániel Ágoston Bálint & Martin Schweizer, 2018. "Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR," Swiss Finance Institute Research Paper Series 18-23, Swiss Finance Institute, revised Mar 2018.
    3. Eckhard Platen & Stefan Tappe, 2020. "The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios," Research Paper Series 411, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Martin Herdegen & David Hobson & Joseph Jerome, 2021. "An elementary approach to the Merton problem," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1218-1239, October.
    5. Eckhard Platen & Stefan Tappe, 2020. "No arbitrage and multiplicative special semimartingales," Papers 2005.05575, arXiv.org, revised Sep 2022.

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