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Admissible Trading Strategies Under Transaction Costs · Study

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ChapterAdmissible Trading Strategies Under Transaction Costs

Walter Schachermayer B2014

Chapter2014

Admissible Trading Strategies Under Transaction Costs

Walter Schachermayer B

21 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1979Martingales and arbitrage in multiperiod securities markets 1998Methods of Mathematical Finance 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 2005The Mathematics of Arbitrage 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 1994MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON

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2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETSarticle · 8 shared references 2011Optimal Trading Strategies Under Arbitragearticle · 8 shared references 2008The fundamental theorem of asset pricing for continuous processes under small transaction costsarticle · 7 shared references 2014A note on the condition of no unbounded profit with bounded riskarticle · 7 shared references 2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity riskarticle · 7 shared references 2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costsarticle · 7 shared references

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Year2014

Typechapter

Published2014-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-319-11970-0_11

openalex_workW1531279877

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