Arbitrage Theory in Continuous Time: an Overview

Freddy Delbaen () and Walter Schachermayer ()
Additional contact information
Freddy Delbaen: ETH Zürich
Walter Schachermayer: Technische Universität Wien

Chapter 8 in The Mathematics of Arbitrage, 2006, pp 129-146 from Springer

Abstract: After all this preliminary work we are finally in a position to tackle the theme of no-arbitrage in full generality, i.e., for general models S of financial markets in continuous time, and for general (i.e., not necessarily simple) trading strategies H. The choice of the proper class of trading strategies will turn out to be rather subtle. In fact, for different applications (e.g., portfolio optimisation with respect to exponential utility to give a concrete example; see [DGRSSS 02] and [S 03a]) it will sometimes be necessary to consider different classes of appropriate trading strategies. But for the present purpose the concept of admissible strategies developed below will serve very well.

Date: 2006
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-31299-4_8

Ordering information: This item can be ordered from
http://www.springer.com/9783540312994

DOI: 10.1007/978-3-540-31299-4_8

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().