M6 - On minimal market models and minimal Martingale measures

UTSePress Research/Manakin Repository

Search UTSePress Research

Advanced Search


My Account

Show simple item record

dc.contributor.author Hulley, Hardy en_US
dc.contributor.author Schweizer, M en_US
dc.contributor.editor Chiarella, C; Novikov, A en_US
dc.date.accessioned 2012-02-02T02:00:11Z
dc.date.available 2012-02-02T02:00:11Z
dc.date.issued 2010 en_US
dc.identifier 2009008220 en_US
dc.identifier.citation Hulley Hardy and Schweizer M 2010, 'M6 - On minimal market models and minimal Martingale measures', in http://dx.doi.org/10.1007/978-3-642-03479-4_3 (ed.), Springer, Germany, pp. 35-51. en_US
dc.identifier.issn 978-3-642-03478-7 en_US
dc.identifier.other B1 en_US
dc.identifier.uri http://hdl.handle.net/10453/14242
dc.description.abstract The well-known absence-of-arbitrage condition NFLVR from the fundamental theorem of asset pricing splits into two conditions, called NA and NUPBR. We give a literature overview of several equivalent reformulations of NUPBR; these include existence of a growth-optimal portfolio, existence of the numeraire portfolio, and for continuous asset prices the structure condition (SC). As a consequence, the minimal market model of E. Platen is seen to be directly linked to the minimal martingale measure. We then show that reciprocals of stochastic exponentials of continuous local martingales are time changes of a squared Bessel process of dimension 4. This directly gives a very specific probabilistic structure for minimal market models. en_US
dc.language en_US
dc.publisher Springer en_US
dc.relation.isbasedon http://dx.doi.org/10.1007/978-3-642-03479-4_3 en_US
dc.title M6 - On minimal market models and minimal Martingale measures en_US
dc.parent Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Germany en_US
dc.identifier.startpage 35 en_US
dc.identifier.endpage 51 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010205 en_US
dc.personcode 040635 en_US
dc.personcode 0000023910 en_US
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition 1st en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US

Files in this item

This item appears in the following Collection(s)

Show simple item record