No-Arbitrage Principle in Conic Finance
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Jouini Elyes & Kallal Hedi, 1995.
"Martingales and Arbitrage in Securities Markets with Transaction Costs,"
Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
- Elyès Jouini & Hedi Kallal, 1995. "Martingale and Arbitrage in securities markets with transaction cost," Post-Print halshs-00167138, HAL.
- Copeland, Thomas E & Galai, Dan, 1983. "Information Effects on the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 38(5), pages 1457-1469, December.
- George M. Constantinides, 2005.
"Capital Market Equilibrium with Transaction Costs,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 7, pages 207-227,
World Scientific Publishing Co. Pte. Ltd..
- Constantinides, George M, 1986. "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, University of Chicago Press, vol. 94(4), pages 842-862, August.
- S. D. Jacka, 1992. "A Martingale Representation Result and an Application to Incomplete Financial Markets," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 239-250, October.
- Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
- Dilip Madan, 2012. "A two price theory of financial equilibrium with risk management implications," Annals of Finance, Springer, vol. 8(4), pages 489-505, November.
- repec:dau:papers:123456789/5630 is not listed on IDEAS
- Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
- Ernst Eberlein & Dilip B. Madan, 2009. "Hedge Fund Performance: Sources And Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 267-282.
- Ernst Eberlein & Dilip B. Madan, 2012. "Unbounded liabilities, capital reserve requirements and the taxpayer put option," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 709-724, October.
- Dilip B. Madan & Alexander Cherny, 2010. "Markets As A Counterparty: An Introduction To Conic Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(08), pages 1149-1177.
- Alexander Cherny & Dilip Madan, 2009. "New Measures for Performance Evaluation," The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2371-2406, July.
- Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
- Dilip B Madan, 2016. "Marking to two-price markets," Journal of Asset Management, Palgrave Macmillan, vol. 17(2), pages 100-118, March.
- Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
- Dilip B. Madan, 2016. "Conic Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-42, May.
- Ernst Eberlein & Dilip Madan & Martijn Pistorius & Wim Schoutens & Marc Yor, 2014. "Two price economies in continuous time," Annals of Finance, Springer, vol. 10(1), pages 71-100, February.
- Dilip B. Madan & Wim Schoutens & King Wang, 2017. "Measuring And Monitoring The Efficiency Of Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
- Robert J. Elliott & Dilip B. Madan & Tak Kuen Siu, 2021. "Two price economic equilibria and financial market bid/ask prices," Annals of Finance, Springer, vol. 17(1), pages 27-43, March.
- Florence Guillaume & Gero Junike & Peter Leoni & Wim Schoutens, 2019. "Implied liquidity risk premia in option markets," Annals of Finance, Springer, vol. 15(2), pages 233-246, June.
- Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
- Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez, 2012. "Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices," Papers 1205.4790, arXiv.org, revised Jun 2013.
- Dilip B. Madan, 2016. "Adapted hedging," Annals of Finance, Springer, vol. 12(3), pages 305-334, December.
- Madan, Dilip B., 2014. "Modeling and monitoring risk acceptability in markets: The case of the credit default swap market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 63-73.
- Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim, 2016. "Hedging insurance books," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 364-372.
- Dilip B. Madan & Yazid M. Sharaiha, 2015. "Option overlay strategies," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1175-1190, July.
- Beißner, Patrick, 2013.
"Coherent Price Systems and Uncertainty-Neutral Valuation,"
VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
80010, Verein für Socialpolitik / German Economic Association.
- Beißner, Patrick, 2014. "Coherent price systems and uncertainty-neutral valuation," Center for Mathematical Economics Working Papers 464, Center for Mathematical Economics, Bielefeld University.
- Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001.
"Arbitrage and viability in securities markets with fixed trading costs,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
- Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999. "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-033, New York University, Leonard N. Stern School of Business-.
- Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Post-Print halshs-00167157, HAL.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
- Madan, Dilip B. & Schoutens, Wim, 2013. "Systemic risk tradeoffs and option prices," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 222-230.
- Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
More about this item
Keywords
conic finance; convex optimization; arbitrage pricing;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:8:y:2020:i:2:p:66-:d:373781. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.