Arbitrage and hedging in model-independent markets with frictions

Arbitrage and hedging in model-independent markets with frictions

We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- dent discrete time financial market with proportional transaction costs. We consider a probability- free version of the robust no arbitrage condition introduced by Schachermayer in [Math. Finance, 14 (2...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur:	Burzoni, M
Fformat:	Journal article
Cyhoeddwyd:	Society for Industrial and Applied Mathematics 2016

Eitemau Tebyg

HEDGING UNDER ARBITRAGE
gan: Ruf, J
Cyhoeddwyd: (2013)

Universal arbitrage aggregator in discrete-time markets under uncertainty
gan: Burzoni, M, et al.
Cyhoeddwyd: (2015)

Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach
Cyhoeddwyd: (2003)

Robust martingale selection problem and its connections to the no‐arbitrage theory
gan: Burzoni, M, et al.
Cyhoeddwyd: (2019)

Pointwise arbitrage pricing theory in discrete time
gan: Burzoni, M, et al.
Cyhoeddwyd: (2019)

Option pricing and hedging with market friction using reinforcement learning
gan: Jiang, Zixing
Cyhoeddwyd: (2024)

Pricing and arbitrage in cryptocurrency markets
gan: Hajare, Neel(Neel A.)
Cyhoeddwyd: (2019)

Trading and arbitrage in cryptocurrency markets
gan: Makarov, Igor, et al.
Cyhoeddwyd: (2021)

Risk arbitrage in emerging markets
gan: Goh, Mengkiat
Cyhoeddwyd: (2009)

Arbitrage-free neural-SDE market models
gan: Cohen, SN, et al.
Cyhoeddwyd: (2023)

Model independent hedging strategies for variance swaps
gan: Hobson, D, et al.
Cyhoeddwyd: (2011)

What drives hedge fund returns? : models of flows, autocorrelation, optimal size, limits to arbitrage and fund failures
gan: Getmansky, Mila
Cyhoeddwyd: (2005)

On the quasi-sure superhedging duality with frictions
gan: Bayraktar, E, et al.
Cyhoeddwyd: (2019)

Nature of LNG Arbitrage, and an Analysis of the Main Barriers for the Growth of Global LNG Arbitrage Market
gan: Zhuravleva, P
Cyhoeddwyd: (2009)

Arbitrage-free neural-SDE market models of traded options
gan: Wang, S
Cyhoeddwyd: (2022)

Large markets: asymptotic arbitrage and portfolio optimisation
gan: Dub, A
Cyhoeddwyd: (2016)

Arbitrage Opportunities in the Klibor Futures Market in Malaysia
gan: Shahbudin, Shakirah
Cyhoeddwyd: (2006)

The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
gan: Fenn, D, et al.
Cyhoeddwyd: (2008)

Publicizing arbitrage
gan: Kahraman, B
Cyhoeddwyd: (2020)

Afriat and arbitrage
gan: Beggs, A
Cyhoeddwyd: (2021)

The secondary market for hedge funds and the closed hedge fund premium
gan: Ramadorai, T
Cyhoeddwyd: (2012)

Determination of Arbitrage Pricing Factors in the Malaysian Stock Market
gan: Zakaria, Azhar
Cyhoeddwyd: (2006)

Labor arbitrage : impact of offshoring in the U.S. labor market
gan: Malibran, Jorge (Malibran Ángel)
Cyhoeddwyd: (2013)

Execution and statistical arbitrage with signals in multiple automated market makers
gan: Cartea, A, et al.
Cyhoeddwyd: (2023)

Dueling markets : capitalizing on the non-institutional and institutional asset arbitrage
gan: Sacchini Bruzual, Bernardo A
Cyhoeddwyd: (2015)

Market Emergence and Transition: Transaction Costs, Arbitrage, and Autarky in China’s Grain Markets.
gan: Park, A, et al.
Cyhoeddwyd: (2002)

Relativistic statistical arbitrage
gan: Wissner-Gross, Alexander, et al.
Cyhoeddwyd: (2011)

Robust statistical arbitrage
gan: Yin, Daiying
Cyhoeddwyd: (2021)

The hedging efficiency of crude oil markets
gan: Horsnell, P, et al.
Cyhoeddwyd: (1995)

Risk arbitrage : an investor's guide /
gan: 250571 Moore, Keith M.
Cyhoeddwyd: (1999)

Hedging option books using neural-SDE market models
gan: Reisinger, C, et al.
Cyhoeddwyd: (2023)

Holding costs and equilibrium arbitrage
gan: Tuckman, Bruce., et al.
Cyhoeddwyd: (2009)

Holding costs and equilibrium arbitrage
gan: Tuckman, Bruce., et al.
Cyhoeddwyd: (2009)

Limited arbitrage in mergers and acquisions
gan: Kong, Ling Chong, et al.
Cyhoeddwyd: (2008)

Convexity arbitrage in swap futures.
gan: Wong, Thian Boon.
Cyhoeddwyd: (2008)

Arbitrage opportunities in index futures
gan: Ong, Yew Meng, et al.
Cyhoeddwyd: (2015)

Inflation hedging property of housing market in Malaysia
gan: Geok, Peng Yeap, et al.
Cyhoeddwyd: (2016)

Can hedge funds time market liquidity?
gan: Cao, Charles, et al.
Cyhoeddwyd: (2014)

Hedging optimization algorithms for deregulated electricity markets
gan: Wagner, Michael R. (Michael Robert), 1978-
Cyhoeddwyd: (2005)

Financial hedging in international markets for commodity producers.
gan: Akant, Adnan.
Cyhoeddwyd: (2023)