657 research outputs found
A comparison of two no-arbitrage conditions
We give a comparison of two no-arbitrage conditions for the fundamental theorem of asset pricing. The first condition is named as the no free lunch with vanishing risk condition and the second the no good deal condition. We aim to derive a relationship between these two conditions
Risk measures with the CxLS property
In the present contribution we characterize law determined convex risk
measures that have convex level sets at the level of distributions. By relaxing
the assumptions in Weber (2006), we show that these risk measures can be
identified with a class of generalized shortfall risk measures. As a direct
consequence, we are able to extend the results in Ziegel (2014) and Bellini and
Bignozzi (2014) on convex elicitable risk measures and confirm that expectiles
are the only elicitable coherent risk measures. Further, we provide a simple
characterization of robustness for convex risk measures in terms of a weak
notion of mixture continuity
Inf-convolution of G-expectations
In this paper we will discuss the optimal risk transfer problems when risk
measures are generated by G-expectations, and we present the relationship
between inf-convolution of G-expectations and the inf-convolution of drivers G.Comment: 23 page
No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
We discuss the no-arbitrage conditions in a general framework for
discrete-time models of financial markets with proportional transaction costs
and general information structure. We extend the results of Kabanov and al.
(2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where
bid-ask spreads are not known with certainty. In the "no-friction" case, we
retrieve the result of Kabanov and Stricker (2003)
On arbitrages arising from honest times
In the context of a general continuous financial market model, we study
whether the additional information associated with an honest time gives rise to
arbitrage profits. By relying on the theory of progressive enlargement of
filtrations, we explicitly show that no kind of arbitrage profit can ever be
realised strictly before an honest time, while classical arbitrage
opportunities can be realised exactly at an honest time as well as after an
honest time. Moreover, stronger arbitrages of the first kind can only be
obtained by trading as soon as an honest time occurs. We carefully study the
behavior of local martingale deflators and consider no-arbitrage-type
conditions weaker than NFLVR.Comment: 25 pages, revised versio
Convergence in measure under Finite Additivity
We investigate the possibility of replacing the topology of convergence in
probability with convergence in . A characterization of continuous linear
functionals on the space of measurable functions is also obtained
No arbitrage and closure results for trading cones with transaction costs
In this paper, we consider trading with proportional transaction costs as in Schachermayer’s paper (Schachermayer in Math. Finance 14:19–48, 2004). We give a necessary and sufficient condition for , the cone of claims attainable from zero endowment, to be closed. Then we show how to define a revised set of trading prices in such a way that, firstly, the corresponding cone of claims attainable for zero endowment, , does obey the fundamental theorem of asset pricing and, secondly, if is arbitrage-free then it is the closure of . We then conclude by showing how to represent claims
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
We consider a class of generalized capital asset pricing models in continuous
time with a finite number of agents and tradable securities. The securities may
not be sufficient to span all sources of uncertainty. If the agents have
exponential utility functions and the individual endowments are spanned by the
securities, an equilibrium exists and the agents' optimal trading strategies
are constant. Affine processes, and the theory of information-based asset
pricing are used to model the endogenous asset price dynamics and the terminal
payoff. The derived semi-explicit pricing formulae are applied to numerically
analyze the impact of the agents' risk aversion on the implied volatility of
simultaneously-traded European-style options.Comment: 24 pages, 4 figure
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