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The numéraire portfolio in semimartingale financial models
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Cited by:
- Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
- Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Post-Print hal-02373296, HAL.
- Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2024.
"Arbitrage theory in a market of stochastic dimension,"
Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 847-895, July.
- Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2022. "Arbitrage theory in a market of stochastic dimension," Papers 2212.04623, arXiv.org, revised Jun 2023.
- Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Prömel, 2023. "Model‐free portfolio theory: A rough path approach," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 709-765, July.
- Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
- Fontana, Claudio & Runggaldier, Wolfgang J., 2021. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 66-80.
- Delia Coculescu & Monique Jeanblanc, 2019. "Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices," Finance and Stochastics, Springer, vol. 23(2), pages 397-421, April.
- Rama Cont & Marvin S. Mueller, 2019. "A stochastic partial differential equation model for limit order book dynamics," Papers 1904.03058, arXiv.org, revised May 2021.
- Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier, 2023. "A stochastic control perspective on term structure models with roll-over risk," Finance and Stochastics, Springer, vol. 27(4), pages 903-932, October.
- E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf, 2016. "Volatility and Arbitrage," Papers 1608.06121, arXiv.org.
- Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
- Eckhard Platen & Renata Rendek, 2017.
"Market Efficiency and Growth Optimal Portfolio,"
Papers
1706.06832, arXiv.org.
- Eckhard Platen & Renata Rendek, 2017. "Market Efficiency and the Growth Optimal Portfolio," Research Paper Series 386, Quantitative Finance Research Centre, University of Technology, Sydney.
- Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190, arXiv.org.
- Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Promel, 2021. "Model-free Portfolio Theory: A Rough Path Approach," Papers 2109.01843, arXiv.org, revised Oct 2022.
- Oleksii Mostovyi, 2015. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Finance and Stochastics, Springer, vol. 19(1), pages 135-159, January.
- Francesca Biagini & Jan Widenmann, 2012. "Pricing Of Unemployment Insurance Products With Doubly Stochastic Markov Chains," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-32.
- Robert Jarrow & Philip Protter & Sergio Pulido, 2015.
"The Effect Of Trading Futures On Short Sale Constraints,"
Mathematical Finance, Wiley Blackwell, vol. 25(2), pages 311-338, April.
- Robert Jarrow & Philip Protter & Sergio Pulido, 2015. "The effect of trading futures on short sale constraints," Post-Print hal-02265269, HAL.
- Dietmar P.J. Leisen & Eckhard Platen, 2017.
"Investing for the Long Run,"
Research Paper Series
381, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dietmar Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Papers 1705.03929, arXiv.org.
- Kasper Larsen & Oleksii Mostovyi & Gordan Žitković, 2018. "An expansion in the model space in the context of utility maximization," Finance and Stochastics, Springer, vol. 22(2), pages 297-326, April.
- Dorsaf Cherif & Emmanuel Lépinette, 2023. "No-arbitrage conditions and pricing from discrete-time to continuous-time strategies," Annals of Finance, Springer, vol. 19(2), pages 141-168, June.
- Kardaras, Constantinos, 2010. "Numéraire-invariant preferences in financial modeling," LSE Research Online Documents on Economics 44993, London School of Economics and Political Science, LSE Library.
- Nicolas Perkowski & David J. Promel, 2013. "Pathwise stochastic integrals for model free finance," Papers 1311.6187, arXiv.org, revised Jun 2016.
- Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos, 2016. "Who would invest only in the risk-free asset?," Papers 1608.02446, arXiv.org.
- Gu, Lingqi & Lin, Yiqing & Yang, Junjian, 2016. "On the dual problem of utility maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1019-1035.
- David Criens, 2016. "Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets," Papers 1609.01621, arXiv.org, revised Dec 2017.
- Michael Monoyios & Oleksii Mostovyi, 2022. "Stability of the Epstein-Zin problem," Papers 2208.09895, arXiv.org, revised Apr 2023.
- Sebastian E. Ferrando & Alfredo L. Gonzalez & Ivan L. Degano & Massoome Rahsepar, 2014. "Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals," Papers 1407.1769, arXiv.org, revised Nov 2015.
- Oleksii Mostovyi, 2011. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Papers 1107.5852, arXiv.org, revised Jul 2012.
- David Criens, 2018. "Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-41, February.
- Huy N. Chau & Miklos Rasonyi, 2016. "On optimal investment with processes of long or negative memory," Papers 1608.00768, arXiv.org, revised Mar 2017.
- Ke Du & Eckhard Platen, 2016. "Benchmarked Risk Minimization," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 617-637, July.
- David Criens & Lars Niemann, 2023. "Robust utility maximization with nonlinear continuous semimartingales," Mathematics and Financial Economics, Springer, volume 17, number 5, February.
- Mikhail Zhitlukhin, 2022. "Optimal growth strategies for a representative agent in a continuous-time asset market," Papers 2211.05316, arXiv.org.
- Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
- Constantinos Kardaras, 2009. "No‐Free‐Lunch Equivalences For Exponential Lévy Models Under Convex Constraints On Investment," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 161-187, April.
- Yaroslav Melnyk & Frank Thomas Seifried, 2018. "Small†cost asymptotics for long†term growth rates in incomplete markets," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 668-711, April.
- Hao Xing, 2017. "Consumption–investment optimization with Epstein–Zin utility in incomplete markets," Finance and Stochastics, Springer, vol. 21(1), pages 227-262, January.
- Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series 385, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Renata Rendek, 2012.
"Approximating the numéraire portfolio by naive diversification,"
Journal of Asset Management, Palgrave Macmillan, vol. 13(1), pages 34-50, February.
- Eckhard Platen & Renata Rendek, 2010. "Approximating the Numeraire Portfolio by Naive Diversification," Research Paper Series 281, Quantitative Finance Research Centre, University of Technology, Sydney.
- Christoph Czichowsky & Walter Schachermayer, 2014. "Duality Theory for Portfolio Optimisation under Transaction Costs," Papers 1408.5989, arXiv.org.
- Sigrid Källblad, 2017. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Finance and Stochastics, Springer, vol. 21(2), pages 397-425, April.
- Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
- Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1761-1784.
- Chau, Huy N. & Rásonyi, Miklós, 2018. "On optimal investment with processes of long or negative memory," Stochastic Processes and their Applications, Elsevier, vol. 128(4), pages 1095-1113.
- Kardaras, Constantinos, 2013. "On the closure in the Emery topology of semimartingale wealth-process sets," LSE Research Online Documents on Economics 44996, London School of Economics and Political Science, LSE Library.
- Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
- Dorsaf Cherif & Emmanuel Lépinette, 2023. "No-arbitrage conditions and pricing from discrete-time to continuous-time strategies," Post-Print hal-03284660, HAL.
- Zixin Feng & Dejian Tian, 2021. "Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints," Papers 2111.09032, arXiv.org, revised May 2023.
- Zongxia Liang & Ming Ma, 2020. "Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1035-1072, July.
- Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018.
"Detecting money market bubbles,"
Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
- Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
- Mikhail Zhitlukhin, 2018. "Survival investment strategies in a continuous-time market model with competition," Papers 1811.12491, arXiv.org, revised Sep 2019.
- Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2014.
"A benchmark approach to risk-minimization under partial information,"
Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 129-146.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "A Benchmark Approach to Risk-Minimization under Partial Information," Papers 1307.6036, arXiv.org.
- Kardaras, Constantinos & Platen, Eckhard, 2011.
"On the semimartingale property of discounted asset-price processes,"
Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2678-2691, November.
- Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Papers 0803.1890, arXiv.org, revised Nov 2009.
- Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.
- Christa Cuchiero & Walter Schachermayer & Ting‐Kam Leonard Wong, 2019. "Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 773-803, July.
- Czichowsky, Christoph Johannes & Peyre, Rémi & Schachermayer, Walter & Yang, Junjian, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 85230, London School of Economics and Political Science, LSE Library.
- 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.
- Christa Cuchiero & Josef Teichmann, 2015. "A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing," Finance and Stochastics, Springer, vol. 19(4), pages 743-761, October.
- 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.
- Czichowsky, Christoph & Schachermayer, Walter & Yang, Junjian, 2017. "Shadow prices for continuous processes," LSE Research Online Documents on Economics 63370, London School of Economics and Political Science, LSE Library.
- Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "On the existence of sure profits via flash strategies," Papers 1708.03099, arXiv.org, revised Jul 2019.
- Gabriel Frahm, 2016. "Pricing And Valuation Under The Real-World Measure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-39, February.
- 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.
- Michael Heinrich Baumann, 2022. "Beating the market? A mathematical puzzle for market efficiency," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 279-325, June.
- Michael Monoyios, 2020. "Infinite horizon utility maximisation from inter-temporal wealth," Papers 2009.00972, arXiv.org, revised Oct 2020.
- Černý, Aleš & Melicherčík, Igor, 2020.
"Simple explicit formula for near-optimal stochastic lifestyling,"
European Journal of Operational Research, Elsevier, vol. 284(2), pages 769-778.
- Alev{s} v{C}ern'y & Igor Melicherv{c}'ik, 2018. "Simple Explicit Formula for Near-Optimal Stochastic Lifestyling," Papers 1801.00980, arXiv.org, revised Dec 2019.
- Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
- Alev{s} v{C}ern'y & Christoph Czichowsky, 2022. "The law of one price in quadratic hedging and mean-variance portfolio selection," Papers 2210.15613, arXiv.org, revised Sep 2024.
- Claudio Fontana & Wolfgang J. Runggaldier, 2020. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Papers 2006.15563, arXiv.org, revised Sep 2020.
- Christoph Czichowsky & R'emi Peyre & Walter Schachermayer & Junjian Yang, 2016. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Papers 1608.01415, arXiv.org.
- Simone Farinelli & Hideyuki Takada, 2022. "The Black–Scholes equation in the presence of arbitrage," Quantitative Finance, Taylor & Francis Journals, vol. 22(12), pages 2155-2170, December.
- Christoph Czichowsky & Walter Schachermayer & Junjian Yang, 2014. "Shadow prices for continuous processes," Papers 1408.6065, arXiv.org, revised May 2015.
- Roland G. Fryer, Jr. & Philipp Harms, 2013. "Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability," NBER Working Papers 19043, National Bureau of Economic Research, Inc.
- 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.
- Czichowsky, Christoph & Schachermayer, Walter, 2016. "Duality theory for portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 63362, London School of Economics and Political Science, LSE Library.
- Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Oct 2024.
- Oleksii Mostovyi, 2017. "Optimal consumption of multiple goods in incomplete markets," Papers 1705.02291, arXiv.org, revised Jan 2018.
- Gabriel Frahm, 2013. "Pricing and Valuation under the Real-World Measure," Papers 1304.3824, arXiv.org, revised Jan 2016.
- Wang, Xingchun, 2021. "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, vol. 38(C).
- Aksamit, Anna & Choulli, Tahir & Deng, Jun & Jeanblanc, Monique, 2019. "No-arbitrage under additional information for thin semimartingale models," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3080-3115.
- Andrew L. Allan & Chong Liu & David J. Promel, 2021. "A C\`adl\`ag Rough Path Foundation for Robust Finance," Papers 2109.04225, arXiv.org, revised May 2023.
- Tahir Choulli & Sina Yansori, 2022. "Log-optimal and numéraire portfolios for market models stopped at a random time," Finance and Stochastics, Springer, vol. 26(3), pages 535-585, July.
- Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
- Christa Cuchiero & Walter Schachermayer & Ting-Kam Leonard Wong, 2016. "Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio," Papers 1611.09631, arXiv.org.
- Nikolai Dokuchaev, 2018. "On the implied market price of risk under the stochastic numéraire," Annals of Finance, Springer, vol. 14(2), pages 223-251, May.
- Huy N. Chau & Andrea Cosso & Claudio Fontana, 2020. "The value of informational arbitrage," Finance and Stochastics, Springer, vol. 24(2), pages 277-307, April.
- David Criens & Mikhail Urusov, 2023. "Criteria for the absence of arbitrage in general diffusion markets," Papers 2306.11470, arXiv.org, revised Sep 2024.
- Laurence Carassus & Emmanuel L'epinette, 2021. "Pricing without no-arbitrage condition in discrete time," Papers 2104.02688, arXiv.org.
- Claudio Fontana & Bernt Øksendal & Agnès Sulem, 2015. "Market Viability and Martingale Measures under Partial Information," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 15-39, March.
- Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio without NFLVR: existence, complete characterization, and duality," Papers 1807.06449, arXiv.org.
- Martin Herdegen, 2017. "No-Arbitrage In A Numéraire-Independent Modeling Framework," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 568-603, April.
- Bálint, Dániel Ágoston, 2022. "Characterisation of L0-boundedness for a general set of processes with no strictly positive element," Stochastic Processes and their Applications, Elsevier, vol. 147(C), pages 51-75.
- Eckhard Platen, 2024. "Benchmark-Neutral Pricing," Papers 2407.01542, arXiv.org.
- Fontana, Claudio, 2018. "The strong predictable representation property in initially enlarged filtrations under the density hypothesis," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1007-1033.
- Mostovyi, Oleksii, 2020. "Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4444-4469.
- Kardaras, Constantinos, 2010. "The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints," Stochastic Processes and their Applications, Elsevier, vol. 120(3), pages 331-347, March.
- Constantinos Kardaras, 2012. "Market viability via absence of arbitrage of the first kind," Finance and Stochastics, Springer, vol. 16(4), pages 651-667, October.
- Mikhail Zhitlukhin, 2020. "Asymptotic minimization of expected time to reach a large wealth level in an asset market game," Papers 2007.04909, arXiv.org.
- Mikhail Zhitlukhin, 2020. "A continuous-time asset market game with short-lived assets," Papers 2008.13230, arXiv.org.
- Nicolas Perkowski & David J. Promel, 2014. "Local times for typical price paths and pathwise Tanaka formulas," Papers 1405.4421, arXiv.org, revised Apr 2015.
- Laurence Carassus, 2021. "No free lunch for markets with multiple num\'eraires," Papers 2107.12885, arXiv.org, revised Dec 2022.
- Eckhard Platen, 2011.
"A Benchmark Approach to Investing and Pricing,"
World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 28, pages 409-426,
World Scientific Publishing Co. Pte. Ltd..
- Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney.
- Constantinos Kardaras, 2011. "On the closure in the Emery topology of semimartingale wealth-process sets," Papers 1108.0945, arXiv.org, revised Jul 2013.
- Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," LSE Research Online Documents on Economics 65150, London School of Economics and Political Science, LSE Library.
- Salvador Cruz Rambaud, 2019. "Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
- Gabriel Frahm, 2020. "Statistical properties of estimators for the log-optimal portfolio," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(1), pages 1-32, August.
- 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.
- Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(1), pages 21-41, August.
- Yuri Kabanov & Constantinos Kardaras & Shiqi Song, 2016.
"No arbitrage of the first kind and local martingale numéraires,"
Finance and Stochastics, Springer, vol. 20(4), pages 1097-1108, October.
- Kabanov, Yuri & Kardaras, Constantinos & Song, Shiqi, 2016. "No arbitrage of the first kind and local martingale numéraires," LSE Research Online Documents on Economics 68002, London School of Economics and Political Science, LSE Library.
- 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.
- Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014. "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, vol. 18(1), pages 75-114, January.
- Mathias Beiglböck & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Prömel, 2017. "Pathwise superreplication via Vovk’s outer measure," Finance and Stochastics, Springer, vol. 21(4), pages 1141-1166, October.
- Biagini, Francesca & Groll, Andreas & Widenmann, Jan, 2013. "Intensity-based premium evaluation for unemployment insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 302-316.
- Kasper Larsen & Oleksii Mostovyi & Gordan v{Z}itkovi'c, 2014. "An expansion in the model space in the context of utility maximization," Papers 1410.0946, arXiv.org, revised Aug 2016.
- Choulli, Tahir & Yansori, Sina, 2022. "Explicit description of all deflators for market models under random horizon with applications to NFLVR," Stochastic Processes and their Applications, Elsevier, vol. 151(C), pages 230-264.
- Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
- Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2012. "On arbitrages arising from honest times," Papers 1207.1759, arXiv.org, revised Jul 2013.
- Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier, 2023. "A stochastic control perspective on term structure models with roll-over risk," Papers 2304.04453, arXiv.org, revised Oct 2023.
- Mathias Beiglbock & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Promel, 2015. "Pathwise super-replication via Vovk's outer measure," Papers 1504.03644, arXiv.org, revised Jul 2016.
- Rama Cont & Marvin Muller, 2019. "A Stochastic Pde Model For Limit Order Book Dynamics," Working Papers hal-02090449, HAL.
- Jacopo Mancin & Wolfgang J. Runggaldier, 2015. "On the Existence of Martingale Measures in Jump Diffusion Market Models," Papers 1511.08349, arXiv.org.
- Carassus, Laurence, 2023. "No free lunch for markets with multiple numéraires," Journal of Mathematical Economics, Elsevier, vol. 104(C).
- repec:hal:wpaper:hal-03284660 is not listed on IDEAS
- Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
- Constantinos Kardaras & Johannes Ruf, 2019. "Filtration shrinkage, the structure of deflators, and failure of market completeness," Papers 1912.04652, arXiv.org, revised Aug 2020.
- Mikhail Zhitlukhin, 2022. "A continuous-time asset market game with short-lived assets," Finance and Stochastics, Springer, vol. 26(3), pages 587-630, July.
- Vladimir Cherny & Jan Obłój, 2013. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, vol. 17(4), pages 771-800, October.
- Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
- Fernholz, E. Robert & Karatzas, Ioannis & Ruf, Johannes, 2018. "Volatility and arbitrage," LSE Research Online Documents on Economics 75234, London School of Economics and Political Science, LSE Library.
- Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Finance and Stochastics, Springer, vol. 22(1), pages 161-180, January.
- Song, Shiqi, 2016. "Drift operator in a viable expansion of information flow," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2297-2322.
- Kevin Fergusson & Eckhard Platen, 2017. "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers 1711.02808, arXiv.org.
- N. Azevedo & D. Pinheiro & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2018. "Who would invest only in the risk-free asset?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-14, September.
- Mahan Tahvildari, 2021. "Forward indifference valuation and hedging of basis risk under partial information," Papers 2101.00251, arXiv.org.
- Shiqi Song, 2014. "Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$," Papers 1405.4474, arXiv.org, revised Jul 2016.
- Ashley Davey & Michael Monoyios & Harry Zheng, 2020. "Duality for optimal consumption with randomly terminating income," Papers 2011.00732, arXiv.org, revised May 2021.
- Hao Xing, 2015. "Consumption investment optimization with Epstein-Zin utility in incomplete markets," Papers 1501.04747, arXiv.org, revised Nov 2015.
- 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.
- Constantinos Kardaras, 2019. "Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to Mathematical Finance," Papers 1908.03946, arXiv.org, revised Aug 2019.
- Eckhard Platen & Stefan Tappe, 2020. "No arbitrage and multiplicative special semimartingales," Papers 2005.05575, arXiv.org, revised Sep 2022.
- Constantinos Kardaras & Jan Obłój & Eckhard Platen, 2017.
"The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments,"
Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 68-95, January.
- Constantinos Kardaras & Jan Obloj & Eckhard Platen, 2012. "The numeraire property and long-term growth optimality for drawdown-constrained investments," Papers 1206.2305, arXiv.org, revised Nov 2012.
- Kardaras, Constantinos & Obłój, Jan & Platen, Eckhard, 2017. "The numéraire property and long-term growth optimality for drawdown-constrained investments," LSE Research Online Documents on Economics 60132, London School of Economics and Political Science, LSE Library.
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