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A NEW LOOK AT THE FUNDAMENTAL THEOREM OF ASSET PRICING
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A NEW LOOK AT THE FUNDAMENTAL THEOREM OF ASSET PRICING (1998)A NEW LOOK AT THE FUNDAMENTAL THEOREM OF …NO‐ARBITRAGE IN A NUMÉRAIRE‐INDEPENDENT MODELING FRAMEWORK (2014)NO‐ARBITRAGE IN A NUMÉRAIRE‐I…Admissible Trading Strategies Under Transaction Costs (2014)Admissible Trading Strategies…Optimal Trading Strategies Under Arbitrage (2011)Optimal Trading Strategies Un…Fundamental Theorem of Asset Pricing (2010)Fundamental Theorem of Asset …Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models (2010)Deterministic criteria for th…NO‐FREE‐LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT (2009)NO‐FREE‐LUNCH EQUIVALENCES FO…General Arbitrage Pricing Model: I – Probability Approach (2007)General Arbitrage Pricing Mod…Robust projections in the class of martingale measures (2006)Robust projections in the cla…Multi-agent investment in incomplete markets (2004)Multi-agent investment in inc…A Benchmark Framework for Risk Management (2004)A Benchmark Framework for Ris…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The arbitrage theory of capital asset pricing (1976)Martingales and arbitrage in multiperiod securities markets (1979)Methods of Mathematical Finance (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Extended weak convergence and utility maximisation with proportional transaction costs (2020)A general version of the fundamental theorem of asset pricing (1994)Risk Measures and Robust Optimization Problems (2006)Robust optimal control for a consumption-investment problem (2007)Robust utility maximization for a diffusion market model with misspecified coefficients (2012)Limit Theorems for Stochastic Processes (2003)Theory of rational option pricing (2005)INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS (2020)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Financial Modelling with Jump Processes (2003)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Martingales and stochastic integrals in the theory of continuous trading (1981)Continuous Martingales and Brownian Motion (1999)Approximating the numéraire portfolio by naive diversification (2011)Machine Learning for Financial Engineering (2011)Intensity-based premium evaluation for unemployment insurance products (2013)Brownian Motion and Stochastic Calculus (2007)Volatility and arbitrage (2018)Stochastic Differential Equations: An Introduction with Applications. (1987)“Options, Futures, and Other Derivatives” (2016)A Guaranteed Deterministic Approach to Superhedging: No Arbitrage Properties of the Market (2021)
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Cited by

  • 2006Robust projections in the class of martingale measures53 cited
  • 2004A Benchmark Framework for Risk Management33 cited
  • 2009NO‐FREE‐LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT27 cited
  • 2011Optimal Trading Strategies Under Arbitrage25 cited
  • 2014NO‐ARBITRAGE IN A NUMÉRAIRE‐INDEPENDENT MODELING FRAMEWORK22 cited
  • 2014Admissible Trading Strategies Under Transaction Costs21 cited
  • 2004Multi-agent investment in incomplete markets21 cited
  • 2007General Arbitrage Pricing Model: I – Probability Approach18 cited
  • 2010Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models17 cited
  • 2010Fundamental Theorem of Asset Pricing17 cited

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