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We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no-arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs.…

Mathematical Finance · Quantitative Finance 2024-12-09 Christoph Kühn

We establish a quantitative version of the classical Halmos-Savage Theorem for convex, potentially non-dominated sets of probability measures and its dual counterpart, generalizing previous quantitative versions. These results are then used…

Probability · Mathematics 2026-05-14 Christa Cuchiero , Irene Klein , Georg Köstenberger , Thorsten Schmidt

This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the spirit of the Fundamental Theorem of Asset Pricing…

Pricing of Securities · Quantitative Finance 2009-12-01 Constantinos Kardaras

In the context of large financial markets we formulate the notion of \emph{no asymptotic free lunch with vanishing risk} (NAFLVR), under which we can prove a version of the fundamental theorem of asset pricing (FTAP) in markets with an…

Mathematical Finance · Quantitative Finance 2023-10-10 Christa Cuchiero , Irene Klein , Josef Teichmann

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…

Mathematical Finance · Quantitative Finance 2022-02-21 Claudio Fontana , Wolfgang J. Runggaldier

We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No…

Pricing of Securities · Quantitative Finance 2015-08-14 Claudio Fontana

In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…

Pricing of Securities · Quantitative Finance 2024-05-14 Dorsaf Cherif , Emmanuel Lepinette

We establish deterministic necessary and sufficient conditions for the no-arbitrage notions NA ("no arbitrage"), NUPBR ("no unbounded profit with bounded risk") and NFLVR ("no free lunch with vanishing risk") in general diffusion market…

Mathematical Finance · Quantitative Finance 2024-09-04 David Criens , Mikhail Urusov

This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the…

Pricing of Securities · Quantitative Finance 2014-02-21 Anna Aksamit , Tahir Choulli , Jun Deng , Monique Jeanblanc

This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a num\'eraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the…

Mathematical Finance · Quantitative Finance 2015-07-07 Michael R. Tehranchi

We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with bounded risk" (NUPBR) in one-dimensional general diffusion…

Mathematical Finance · Quantitative Finance 2025-03-19 Alexis Anagnostakis , David Criens , Mikhail Urusov

We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first…

Mathematical Finance · Quantitative Finance 2015-07-21 Sara Biagini , Bruno Bouchard , Constantinos Kardaras , Marcel Nutz

The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartingale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The properties of the former carry over largely…

Pricing of Securities · Quantitative Finance 2011-12-23 Winslow Strong

The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual…

General Finance · Quantitative Finance 2011-03-08 Alexander Alvarez , Sebastian Ferrando , Pablo Olivares

For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. We propose a new approach for estimating the super-replication cost based on convex duality…

Mathematical Finance · Quantitative Finance 2019-05-13 Julien Baptiste , Laurence Carassus , Emmanuel Lépinette

In this paper we study arbitrage theory of financial markets in the absence of a num\'eraire both in discrete and continuous time. In our main results, we provide a generalization of the classical equivalence between no unbounded profits…

Mathematical Finance · Quantitative Finance 2021-03-18 Philipp Harms , Chong Liu , Ariel Neufeld

We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…

Probability · Mathematics 2015-09-01 Erhan Bayraktar , Yuchong Zhang

The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl.…

Probability · Mathematics 2008-12-10 Eva Strasser

We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We…

Probability · Mathematics 2008-12-10 Dmitry B. Rokhlin

We consider a one-period market model composed by a risk-free asset and a risky asset with $n$ possible future values (namely, a $n$-nomial market model). We characterize the lower envelope of the class of equivalent martingale measures in…

Probability · Mathematics 2021-07-06 Andrea Cinfrignini , Davide Petturiti , Barbara Vantaggi
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