The Mathematics of Arbitrage
15.5 Application 353 sigma-martingale measures. We refer to Chap. 14 for more details and for a discussion of the concept of sig ...
354 15 A Compactness Principle sense: for each semi-martingaleW ̃withW ̃−W increasing and such that ̃W is aQ-local super-marting ...
15.5 Application 355 is increasing. By applying Theorem 15.D to theQ 0 -local martingaleS— and by passing to convex combinations ...
356 15 A Compactness Principle maximal elements in the set ofw-admissible outcomes. These results are par- allel to the results ...
Part III Bibliography ...
References [AS 93] J.P. Ansel, C. Stricker, (1993), Lois de martingale, densit ́es et d ́ecomposition de F ̈ollmer-Schweizer. An ...
360 References [BKT 98] N.H. Bingham, R. Kiesel, (1998),Risk-Neutral Valuation. Springer-Verlag, London. [BF 04] S. Biagini, M. ...
References 361 [C 75] I. Csiszar, (1975),I-Divergence Geometry of Probability Distributions and Minimization Problems. Annals of ...
362 References [DMSSS 94] F. Delbaen, P. Monat, W. Schachermayer, M. Schweizer, C. Stricker, (1994), In ́ egalit ́e de normes av ...
References 363 the Seminar of Stochastic Analysis, Random Fields and Applications, Progress in Probability, vol. 45, pp. 137–173 ...
364 References [E 81] N. El Karoui, (1981),Les aspects probabilistes du contrˆole stochastique. Ecole d’Et ́e de Probabilit ́es ...
References 365 [F 90] L.P. Foldes, (1990), Conditions for optimality in the infinite-horizon portfolio-cum-savings problem with ...
366 References [HP 91] H. He, N.D. Pearson, (1991),Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Con ...
References 367 [J 87] F. Jamshidian, (1987),Pricing of Contingent Claims in the One Factor Term Structure Model. Merrill Lynch C ...
368 References [KP 65] M. Kadeˇc, A. Pelczy ́nski, (1965),Basic sequences, biorthogonal systems and norming sets in Banach and ...
References 369 [KS 03a] D. Kramkov, W. Schachermayer, (2003),Necessary and sufficient condi- tions in the problem of optimal inv ...
370 References [M 69] R.C. Merton, (1969),Lifetime portfolio selection under uncertainty: the continuous-time model. Rev. Econom ...
References 371 [R 94] L.C.G. Rogers, (1994),Equivalent martingale measures and no-arbitrage. Stochastics and Stochastic Reports, ...
372 References [S 03a] W. Schachermayer, (2003),A Super-Martingale Property of the Optimal Portfolio Process. Finance and Stocha ...
References 373 [T 00] M.S. Taqqu, (2000),Bachelier and his Times: A Conversation with Bernard Bru. Finance and Stochastics, vol. ...
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