M6 - On minimal market models and minimal Martingale measures

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dc.contributor.author Hulley, H
dc.contributor.author Schweizer, M
dc.contributor.editor Chiarella, C
dc.contributor.editor Novikov, A
dc.date.accessioned 2012-02-02T02:00:11Z
dc.date.issued 2010-01
dc.identifier.citation Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, 2010, 1st, pp. 35 - 51
dc.identifier.isbn 978-3-642-03478-7
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.
dc.publisher Springer
dc.relation.isbasedon 10.1007/978-3-642-03479-4_3
dc.title M6 - On minimal market models and minimal Martingale measures
dc.type Chapter
dc.parent Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen
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 Financial Mathematics
dc.personcode 040635
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.location.activity ISI:000278813800001
dc.description.keywords NA en_US
dc.description.keywords Curve fitting, image edge analysis, image shape analysis
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)

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