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The Mathematics of Arbitrage
0 references·16 citing·54 second hop
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  • 2015Arbitrage and duality in nondominated discrete-time models240 cited
  • 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS235 cited
  • 2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS143 cited
  • 2010Densities for rough differential equations under Hörmander’s condition131 cited
  • 2008The fundamental theorem of asset pricing for continuous processes under small transaction costs123 cited
  • 2012Time-consistent mean-variance portfolio selection in discrete and continuous time118 cited
  • 2011Set-valued risk measures for conical market models117 cited
  • 2013A Mathematical Theory of Financial Bubbles110 cited
  • 2013MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS84 cited
  • 2009Robust Preferences and Robust Portfolio Choice84 cited
  • 2007HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES?82 cited
  • 2012Superhedging and Dynamic Risk Measures under Volatility Uncertainty82 cited
  • 2014A note on the condition of no unbounded profit with bounded risk75 cited
  • 2010Local martingales and filtration shrinkage72 cited
  • 2009

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Utility maximization in a jump market model
72 cited
  • 2009OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING70 cited