The Mathematics of Arbitrage

(Tina Meador) #1

368 References


[KP 65] M. Kadeˇc, A. Pelczy ́nski, (1965),Basic sequences, biorthogonal systems
and norming sets in Banach and Fr ́echet spaces. Studia Mathematica, vol.
25, pp. 297–323.
[K 00] J. Kallsen, (2000),Optimal portfolios for exponential L ́evy processes
Mathematical Methods of Operation Research, vol. 51, no. 3, pp. 357–
374.
[K 01] J. Kallsen, (2001),Utility-Based Derivative Pricing in Incomplete Mar-
kets. Mathematical Finance: Bachelier Congress 2000 (H. Geman, D.
Madan, S.R. Pliska, T. Vorst, editors), Springer, pp. 313–338.
[KLS 87] I. Karatzas, J.P. Lehoczky, S.E. Shreve, (1987),Optimal portfolio and
consumption decisions for a “small investor” on a finite horizon.SIAM
Journal of Control and Optimisation, vol. 25, pp. 1557–1586.
[KLS 90] I. Karatzas, J.P. Lehoczky, S.E. Shreve, (1990),Existence and unique-
ness of multi-agent equilibrium in a stochastic, dynamic consump-
tion/investment model. Mathematics of Operations Research, vol. 15, pp.
80–128.
[KLS 91] I. Karatzas, J.P. Lehoczky, S.E. Shreve, (1991),Equilibrium models with
singular asset prices. Mathematical Finance, vol. 1, pp. 11–29.
[KLSX 91] I. Karatzas, J.P. Lehoczky, S.E. Shreve, G.L. Xu, (1991),Martingale and
duality methods for utility maximisation in an incomplete Market.SIAM
Journal of Control and Optimisation, vol. 29, pp. 702–730.
[KS 88] I. Karatzas, S.E. Shreve, (1988),Brownian motion and stochastic calculus.
Springer, Berlin, Heidelberg, New York.
[KSh 98] I. Karatzas, S.E. Shreve, (1998), Methods of Mathematical Finance.
Springer-Verlag, New York.
[KS 96a] I. Klein, W. Schachermayer, (1996), Asymptotic Arbitrage in Non-
Complete Large Financial Markets. Theory of Probability and its Ap-
plications, vol. 41, no. 4, pp. 927–934.
[KS 96b] I. Klein, W. Schachermayer, (1996),A Quantitative and a Dual Version of
the Halmos-Savage Theorem with Applications to Mathematical Finance.
Annals of Probability, vol. 24, no. 2, pp. 867–881.
[KPT 99] P.-F. Koehl, H. Pham, N. Touzi, (1999),On super-replication under Trans-
action costs in general discrete-time models. Theory of Probability and its
Applications, vol. 45, pp. 783–788.
[K 33] A.N. Kolmogorov, (1933), Grundbegriffe der Wahrscheinlichkeitsrech-
nung. Ergebnisse der Mathematik und ihrer Grenzgebiete 3, Springer,
Berlin.
[K 67] J. Komlos, (1967),A generalisation of a theorem of Steinhaus.ActaMath.
Acad. Sci. Hungar., vol. 18, pp. 217–229.
[K 96a] D. Kramkov, (1996),Optional decomposition of supermartingales and
hedging contingent claims in incomplete security markets. Probability
Theory and Related Fields, vol. 105, pp. 459–479.
[K 96b] D. Kramkov, (1996),On the Closure of the Family of Martingale Measures
and an Optional Decomposition of Supermartingales. Theory Probab.
Appl., vol. 41, no. 4, pp. 788–791.
[KS 99] D. Kramkov, W. Schachermayer, (1999),The Asymptotic Elasticity of
Utility Functions and Optimal Investment in Incomplete Markets. Annals
of Applied Probability, vol. 9, no. 3, pp. 904–950.

Free download pdf