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A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets
No-Arbitrage Model Financial Markets Brownian Sheets
2012/9/14
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at th...
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Asymptotic exponential arbitrage large deviations continuous semimartingale model.
2012/9/14
The goal of this paper is to prove a result conjectured in F¨ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that Sis a continuous semimartingale and satisfies a large dev...
Do arbitrage-free prices come from utility maximization?
arbitrage-free prices come from utility maximization
2012/9/14
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices ...
No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
arbitrage fundamental theorem of asset pricing transaction costs consistent pricing system liquidity dividends credit default swaps
2012/6/5
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
The fractional volatility model: No-arbitrage, leverage and completeness
Fractional noise Arbitrage Incomplete market
2012/6/4
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depe...