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ArticleAsymptotic arbitrage in large financial markets

Yuri Kabanov1998

Article1998

Asymptotic arbitrage in large financial markets

Yuri Kabanov · Dmitry Kramkov

88 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1981Martingales and stochastic integrals in the theory of continuous trading 1988Theory of Financial Decision Making.2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 1983Funds, Factors, and Diversification in Arbitrage Pricing Models 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets 1982A simple approach to arbitrage pricing theory

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2001Default Risk and Diversification: Theory and Empirical Implications 2016A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets 2004A note on completeness in large financial markets 1998When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?2005Super-replication and utility maximization in large financial markets

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Details

Year1998

Typearticle

Published1998-02-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations88

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050036

openalex_workW1967069346

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1996

A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance

2008Asymptotic arbitrage and large deviations

1998Diversified Portfolios in Continuous Time