create a website

The Black-Scholes Equation in Presence of Arbitrage. (2019). Takada, Hideyuki ; Farinelli, Simone.
In: Papers.
RePEc:arx:papers:1904.11565.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 27

References cited by this document

Cocites: 48

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. A. SMITH and C. SPEED, Gauge Transforms in Stochastic Investment, Proceedings of the 1998 AFIR Colloquim, Cambridge, England, 1998.
    Paper not yet in RePEc: Add citation now
  2. C. DELLACHÉRIE and P. A. MEYER, Probabilité et potentiel II - Théorie des martingales - Chapitres 5 à 8, Hermann, 1980.
    Paper not yet in RePEc: Add citation now
  3. D. BLEECKER, Gauge Theory and Variational Principles, Addison-Wesley Publishing, 1981, (republished by Dover 2005).
    Paper not yet in RePEc: Add citation now
  4. D. W. STROOCK, An Introduction to the Analysis of Paths on a Riemannian Manifold, Mathematical Surveys and Monographs, 74, AMS, 2000.
    Paper not yet in RePEc: Add citation now
  5. E. P. HSU, Stochastic Analysis on Manifolds, Graduate Studies in Mathematics, 38, AMS, 2002.
    Paper not yet in RePEc: Add citation now
  6. E. WEINSTEIN, Gauge Theory and Inflation: Enlarging the Wu-Yang Dictionary to a unifying Rosetta Stone for Geometry in Application, Talk given at Perimeter Institute, 2006.
    Paper not yet in RePEc: Add citation now
  7. F. DELBAEN and W. SCHACHERMAYER, A General Version of the Fundamental Theorem of Asset Pricing, Mathematische Annalen, Volume 300, (463-520), 1994.
    Paper not yet in RePEc: Add citation now
  8. F. DELBAEN and W. SCHACHERMAYER, The Mathematics of Arbitrage, Springer 2008.
    Paper not yet in RePEc: Add citation now
  9. H. FÖLLMER and A. SCHIED, Stochastic Finance: An Introduction In Discrete Time, Second Edition, De Gruyter Studies in Mathematics, 2004.
    Paper not yet in RePEc: Add citation now
  10. H. HULLEY and M. SCHWEIZER, M6 - On Minimal Market Models and Minimal Martingale Measures, in: C. Chiarella and A. Novikov (eds.), “Contemporary Quantitative Finance. Essays in Honour of Eckhard Platen”, Springer, (35-51), 2010.

  11. K. D. ELWORTHY, Stochastic Differential Equations on Manifolds, London Mathematical Society Lecture Notes Series, 1982.
    Paper not yet in RePEc: Add citation now
  12. K. ILINSKI, Gauge Geometry of Financial Markets, J. Phys. A: Math. Gen. 33, (L5L14), 2000.
    Paper not yet in RePEc: Add citation now
  13. K. ILINSKI, Physics of Finance: Gauge Modelling in Non-Equilibrium Pricing, Wiley, 2001.

  14. K. YOUNG, Foreign Exchange Market as a Lattice Gauge Theory, Am. J. Phys. 67, 1999.
    Paper not yet in RePEc: Add citation now
  15. L. HÖRMANDER, The Analysis of Linear Partial Differential Operators I: Distribution Theory and Fourier Analysis, Springer, 2003.
    Paper not yet in RePEc: Add citation now
  16. L. SCHWARTZ, Semi-martingales sur des variétés et martingales conformes sur des variétés analytiques complexes, Springer Lecture Notes in Mathematics, 1980.
    Paper not yet in RePEc: Add citation now
  17. M. EMÉRY, Stochastic Calculus on Manifolds-With an Appendix by P. A. Meyer, Springer, 1989.
    Paper not yet in RePEc: Add citation now
  18. P. J. HUNT and J. E. KENNEDY, Financial Derivatives in Theory and Practice, Wiley Series in Probability and Statistics, 2004.
    Paper not yet in RePEc: Add citation now
  19. P. N. MALANEY, The Index Number Problem: A Differential Geometric Approach, PhD Thesis, Harvard University Economics Department, 1996.
    Paper not yet in RePEc: Add citation now
  20. Ph. E. PROTTER, Stochastic Integration and Differential Equations: Version 2.1, Stochastic Modelling and Applied Probability, Springer, 2010.
    Paper not yet in RePEc: Add citation now
  21. S. FARINELLI and S. VAZQUEZ, Gauge Invariance, Geometry and Arbitrage, The Journal of Investment Strategies, Volume 1/Number 2, Wiley, (2366), Spring 2012.
    Paper not yet in RePEc: Add citation now
  22. S. FARINELLI, Geometric Arbitrage Theory and Market Dynamics, Journal of Geometric Mechanics, 7 (4), (431-471), 2015.

  23. T. BJÖRK and H. HULT, A Note on Wick Products and the Fractional Black-Scholes Model, Finance & Stochastics, 9, No.2, (197-209), 2005.

  24. W. HACKENBROCH and A. THALMAIER, Stochastische Analysis. Eine Einführung in die Theorie der stetigen Semimartingale, Teubner Verlag, 1994.
    Paper not yet in RePEc: Add citation now
  25. W. SCHACHERMAYER, Optimal Investment in Incomplete Markets When Wealth May Become Negative, Annals of Applied Probability, 11, No. 3, (694-734), 2001.
    Paper not yet in RePEc: Add citation now
  26. Y. E. GLIKLIKH, Global and Stochastic Analysis with Applications to Mathematical Physics, Theoretical and Mathemtical Physics, Springer, 2010.
    Paper not yet in RePEc: Add citation now
  27. Y. M. KABANOV, On the FTAP of Kreps-Delbaen-Schachermayer, Statistics and control of stochastic processes, Moscow, World Scientific Publishing Company, (191-203), 1997.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Valuation of general GMWB annuities in a low interest rate environment. (2023). Rotondi, Francesco ; Fontana, Claudio.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:112:y:2023:i:c:p:142-167.

    Full description at Econpapers || Download paper

  2. Signature Methods in Stochastic Portfolio Theory. (2023). Moller, Janka ; Cuchiero, Christa.
    In: Papers.
    RePEc:arx:papers:2310.02322.

    Full description at Econpapers || Download paper

  3. Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion markets. (2023). Urusov, Mikhail ; Criens, David.
    In: Papers.
    RePEc:arx:papers:2306.11470.

    Full description at Econpapers || Download paper

  4. .

    Full description at Econpapers || Download paper

  5. Log-optimal and numéraire portfolios for market models stopped at a random time. (2022). Yansori, Sina ; Choulli, Tahir.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00477-8.

    Full description at Econpapers || Download paper

  6. Log-optimal portfolio after a random time: Existence, description and sensitivity analysis. (2022). Choulli, Tahir ; Alharbi, Ferdoos.
    In: Papers.
    RePEc:arx:papers:2204.03798.

    Full description at Econpapers || Download paper

  7. Model-free Portfolio Theory: A Rough Path Approach. (2021). Promel, David J ; Liu, Chong ; Cuchiero, Christa ; Allan, Andrew L.
    In: Papers.
    RePEc:arx:papers:2109.01843.

    Full description at Econpapers || Download paper

  8. The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios. (2020). Platen, Eckhard ; Tappe, Stefan.
    In: Research Paper Series.
    RePEc:uts:rpaper:411.

    Full description at Econpapers || Download paper

  9. The fundamental theorem of asset pricing for self-financing portfolios. (2020). Platen, Eckhard ; Tappe, Stefan.
    In: Papers.
    RePEc:arx:papers:2005.05575.

    Full description at Econpapers || Download paper

  10. Stability of the indirect utility process. (2020). Mostovyi, Oleksii.
    In: Papers.
    RePEc:arx:papers:2002.09445.

    Full description at Econpapers || Download paper

  11. Sensitivity analysis of the utility maximisation problem with respect to model perturbations. (2019). Sirbu, Mihai ; Mostovyi, Oleksii.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00388-1.

    Full description at Econpapers || Download paper

  12. Polynomial processes in stochastic portfolio theory. (2019). Cuchiero, Christa.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:129:y:2019:i:5:p:1829-1872.

    Full description at Econpapers || Download paper

  13. Covers universal portfolio, stochastic portfolio theory, and the numéraire portfolio. (2019). Wong, Tingkam Leonard ; Schachermayer, Walter ; Cuchiero, Christa.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:29:y:2019:i:3:p:773-803.

    Full description at Econpapers || Download paper

  14. The Black-Scholes Equation in Presence of Arbitrage. (2019). Takada, Hideyuki ; Farinelli, Simone.
    In: Papers.
    RePEc:arx:papers:1904.11565.

    Full description at Econpapers || Download paper

  15. Semi‐efficient valuations and put‐call parity. (2018). Schweizer, Martin ; Herdegen, Martin.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:28:y:2018:i:4:p:1061-1106.

    Full description at Econpapers || Download paper

  16. Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Yansori, Sina ; Choulli, Tahir.
    In: Papers.
    RePEc:arx:papers:1810.12762.

    Full description at Econpapers || Download paper

  17. Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Yansori, Sina ; Choulli, Tahir.
    In: Papers.
    RePEc:arx:papers:1807.06449.

    Full description at Econpapers || Download paper

  18. Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir.
    In: Papers.
    RePEc:arx:papers:1803.10128.

    Full description at Econpapers || Download paper

  19. Extended Reduced-Form Framework for Non-Life Insurance. (2018). Zhang, Yinglin ; Biagini, Francesca.
    In: Papers.
    RePEc:arx:papers:1802.07741.

    Full description at Econpapers || Download paper

  20. No-arbitrage up to random horizon for quasi-left-continuous models. (2017). Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir ; Aksamit, Anna.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0337-3.

    Full description at Econpapers || Download paper

  21. Unit-linked life insurance policies: Optimal hedging in partially observable market models. (2017). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:76:y:2017:i:c:p:149-163.

    Full description at Econpapers || Download paper

  22. Sensitivity analysis of the utility maximization problem with respect to model perturbations. (2017). Sirbu, Mihai ; Mostovyi, Oleksii.
    In: Papers.
    RePEc:arx:papers:1705.08291.

    Full description at Econpapers || Download paper

  23. Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa.
    In: Papers.
    RePEc:arx:papers:1705.03647.

    Full description at Econpapers || Download paper

  24. PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE. (2016). Frahm, Gabriel.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:01:n:s0219024916500060.

    Full description at Econpapers || Download paper

  25. Polynomial diffusion models for life insurance liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:71:y:2016:i:c:p:114-129.

    Full description at Econpapers || Download paper

  26. Economically Consistent Valuations and Put-Call Parity. (2016). Herdegen, Martin ; Schweizer, Martin.
    In: Swiss Finance Institute Research Paper Series.
    RePEc:chf:rpseri:rp1602.

    Full description at Econpapers || Download paper

  27. Covers universal portfolio, stochastic portfolio theory and the numeraire portfolio. (2016). Schachermayer, Walter ; Cuchiero, Christa ; Wong, Ting-Kam Leonard .
    In: Papers.
    RePEc:arx:papers:1611.09631.

    Full description at Econpapers || Download paper

  28. Polynomial Diffusion Models for Life Insurance Liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin .
    In: Papers.
    RePEc:arx:papers:1602.07910.

    Full description at Econpapers || Download paper

  29. Pricing and Valuation under the Real-World Measure. (2016). Frahm, Gabriel.
    In: Papers.
    RePEc:arx:papers:1304.3824.

    Full description at Econpapers || Download paper

  30. WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS. (2015). Fontana, Claudio.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:18:y:2015:i:01:n:s0219024915500053.

    Full description at Econpapers || Download paper

  31. How non-arbitrage, viability and numéraire portfolio are related. (2015). Choulli, Tahir ; Deng, Jun ; Ma, Junfeng.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:4:p:719-741.

    Full description at Econpapers || Download paper

  32. Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales. (2015). Choulli, Tahir ; Schweizer, Martin.
    In: Swiss Finance Institute Research Paper Series.
    RePEc:chf:rpseri:rp1515.

    Full description at Econpapers || Download paper

  33. On the Existence of Martingale Measures in Jump Diffusion Market Models. (2015). Mancin, Jacopo ; Runggaldier, Wolfgang J.
    In: Papers.
    RePEc:arx:papers:1511.08349.

    Full description at Econpapers || Download paper

  34. Non-Arbitrage Under Additional Information for Thin Semimartingale Models. (2015). Aksamit, Anna ; Choulli, Tahir ; Jeanblanc, Monique ; Deng, Jun.
    In: Papers.
    RePEc:arx:papers:1505.00997.

    Full description at Econpapers || Download paper

  35. On arbitrages arising with honest times. (2014). Song, Shiqi ; Jeanblanc, Monique ; Fontana, Claudio.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:3:p:515-543.

    Full description at Econpapers || Download paper

  36. A note on the condition of no unbounded profit with bounded risk. (2014). Schweizer, Martin ; Takaoka, Koichiro .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:2:p:393-405.

    Full description at Econpapers || Download paper

  37. A benchmark approach to risk-minimization under partial information. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:129-146.

    Full description at Econpapers || Download paper

  38. No-arbitrage conditions and absolutely continuous changes of measure. (2014). Fontana, Claudio.
    In: Papers.
    RePEc:arx:papers:1312.4296.

    Full description at Econpapers || Download paper

  39. Weak and strong no-arbitrage conditions for continuous financial markets. (2014). Fontana, Claudio.
    In: Papers.
    RePEc:arx:papers:1302.7192.

    Full description at Econpapers || Download paper

  40. How Non-Arbitrage, Viability and Num\eraire Portfolio are Related. (2014). Deng, Jun ; Choulli, Tahir ; Ma, Junfeng .
    In: Papers.
    RePEc:arx:papers:1211.4598.

    Full description at Econpapers || Download paper

  41. A Benchmark Approach to Risk-Minimization under Partial Information. (2013). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
    In: Papers.
    RePEc:arx:papers:1307.6036.

    Full description at Econpapers || Download paper

  42. Diffusion-based models for financial markets without martingale measures. (2013). Fontana, Claudio ; Runggaldier, Wolfgang J..
    In: Papers.
    RePEc:arx:papers:1209.4449.

    Full description at Econpapers || Download paper

  43. On arbitrages arising from honest times. (2013). Fontana, Claudio ; Song, Shiqi ; Jeanblanc, Monique.
    In: Papers.
    RePEc:arx:papers:1207.1759.

    Full description at Econpapers || Download paper

  44. PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS. (2012). Biagini, Francesca ; Widenmann, Jan.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:15:y:2012:i:04:n:s0219024912500252.

    Full description at Econpapers || Download paper

  45. Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca.
    In: Research Paper Series.
    RePEc:uts:rpaper:319.

    Full description at Econpapers || Download paper

  46. A Tractable Model for Indices Approximating the Growth Optimal Portfolio. (2012). Platen, Eckhard ; Baldeaux, Jan ; Ignatieva, Katja.
    In: Research Paper Series.
    RePEc:uts:rpaper:318.

    Full description at Econpapers || Download paper

  47. Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca.
    In: Papers.
    RePEc:arx:papers:1210.2337.

    Full description at Econpapers || Download paper

  48. Three-Benchmarked Risk Minimization for Jump Diffusion Markets. (2011). Platen, Eckhard ; Du, KE.
    In: Research Paper Series.
    RePEc:uts:rpaper:296.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-22 16:45:45 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy