The Mathematics of Arbitrage

(Tina Meador) #1

360 References


[BKT 98] N.H. Bingham, R. Kiesel, (1998),Risk-Neutral Valuation. Springer-Verlag,
London.
[BF 04] S. Biagini, M. Frittelli, (2004),On the super replication price of unbounded
claims. Annals of Applied Probability, vol. 14, no. 4, pp. 1970–1991.
[BJ 00] T. Bj ̈ork (2000),Arbitrage Theory in Continuous Time.OxfordUniversity
Press.
[BS 73] F. Black, M. Scholes, (1973),The pricing of options and corporate liabil-
ities. Journal of Political Economy, vol. 81, pp. 637–659.
[BKT 01] B. Bouchard, Y.M. Kabanov, N. Touzi, (2001),Option pricing by large
risk aversion utility under transaction costs. Decisions in Economics and
Finance, vol. 24, no. 1, pp. 127–136.
[BT 00] B. Bouchard, N. Touzi, (2000),Explicit solution of the multivariate super-
replication problem under transaction costs. Annals of Applied Probabil-
ity, vol. 10, pp. 685–708.
[B 79] J. Bourgain, (1979),The Komlos Theorem for Vector Valued Functions.
Manuscript, Vrije Universiteit Brussel, pp. 1–12.
[BR 97] W. Brannath, (1997),On fundamental theorems in mathematical finance.
Doctoral Thesis, University of Vienna.
[BS 99] W. Brannath, W. Schachermayer, (1999),A Bipolar Theorem for Sub-
sets ofL^0 +(Ω,F,P). S ́eminaire de Probabilit ́es XXXIII, Springer Lecture
Notes in Mathematics 1709, pp. 349–354.
[B 73] D. Burkholder, (1973),Distribution Function Inequalities for Martingales.
Annals of Probability, vol. 1, pp. 19–42.
[BG 70] D. Burkholder, R.F. Gundy, (1970),Extrapolation and Interpolation and
Quasi-Linear Operators on Martingales. Acta Mathematica, vol. 124, pp.
249–304.
[CS 05] L. Campi, W. Schachermayer, (2005),A Super-Replication Theorem in
Kabanov’s Model of Transaction Costs.Preprint.
[C 77] C.S. Chou, (1977/78),Caract ́erisation d’une classe de semimartingales.
S ́eminaire de Probabilit ́es XIII, Springer Lecture Notes in Mathematics
721, pp. 250–252.
[CMS 80] C.S. Chou, P.A. Meyer, S. Stricker, (1980),Sur les int ́egrales stochastiques
de processus pr ́evisibles non born ́es.In:J.Az ́ema, M. Yor (eds.), S ́eminaire
de Probabilit ́es XIV, Springer Lecture Notes in Mathematics 784, pp. 128–
139.
[Cl 93] S.A. Clark, (1993),The valuation problem in arbitrage price theory.Jour-
nal of Mathematical Economics, vol. 22, pp. 463–478.
[Cl 00] S.A. Clark, (2000),Arbitrage approximation theory. Journal of Mathemat-
ical Economics, vol. 33, pp. 167–181.
[CH 89] J.C. Cox, C.F. Huang, (1989),Optimal consumption and portfolio policies
when asset prices follow a diffusion process. Journal of Economic Theory,
vol. 49, pp. 33–83.
[CH 91] J.C. Cox, C.F. Huang, (1991),A variational problem arising in financial
economics. Journal of Mathematical Economics, vol. 20, no. 5, pp. 465–
487.
[CRR 79] J. Cox, S. Ross, M. Rubinstein, (1979),Option pricing: a simplified ap-
proch. Journal of Financial Economics, vol. 7, pp. 229–263.
[CK00] J.-M.Courtault,Y.Kabanov,B.Bru,P.Cr ́epel, I. Lebon, A. Le Marc-
hand, (2000),Louis Bachelier: On the Centenary of “Th ́eoriedela
Sp ́ eculation”. Mathematical Finance, vol. 10, no. 3, pp. 341–353.

Free download pdf