Matches in SemOpenAlex for { <https://semopenalex.org/work/W2161662027> ?p ?o ?g. }
- W2161662027 abstract "This thesis develops three major essays on Arbitrage Theory, Market’s Viability and Informational Markets. The first essay (Chapter 3) elaborates the exact connections among the No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) condition, the existence of the numeraire portfolio, and market’s weak/local viability. These tight relationships together with the financial crisis become our principal financial/economic leitmotif for the development of the next essay. In the second essay (Chapter 4 – Chapter 6), we focus on quantifying with extreme precision the effect of some additional information/uncertainty on the nonarbitrage concepts. As a result, we describe the interplay of this extra information and the market’s parameters for these non-arbitrage concepts to be preserved. Herein, we focus on the classical no-arbitrage and the NUPBR condition. This study contains two main parts. In the first part of this essay (Chapter 4), we analyze practical examples of market models and extra information/uncertainty, for which we construct explicit ”classical” arbitrage opportunities generated by the extra information/uncertainty. These examples are built in Brownian filtration and in Poisson filtration as well. The second part (Chapters 5 and 6) addresses the NUPBR condition in two different directions. On the one hand, we describe the pairs of market model and random time for which the resulting informational market model fulfills the NUPBR condition. On the other hand, we characterize the random time models that preserve the NUPBR condition. These results are elaborated for general market models with special attention to practical models such as discrete-time and Levy market models. The last essay (Chapter 7) investigates the effect of additional information on the Structure Conditions. These conditions are the alternatives to the non-arbitrage and viability assumption in the Markowitz settings." @default.
- W2161662027 created "2016-06-24" @default.
- W2161662027 creator A5078848755 @default.
- W2161662027 date "2014-01-01" @default.
- W2161662027 modified "2023-09-23" @default.
- W2161662027 title "ESSAYS ON ARBITRAGE THEORY FOR A CLASS OF INFORMATIONAL MARKETS" @default.
- W2161662027 cites W103231402 @default.
- W2161662027 cites W127653438 @default.
- W2161662027 cites W1493238038 @default.
- W2161662027 cites W1499550068 @default.
- W2161662027 cites W1503295912 @default.
- W2161662027 cites W1525413214 @default.
- W2161662027 cites W1529751671 @default.
- W2161662027 cites W1533819021 @default.
- W2161662027 cites W1537945916 @default.
- W2161662027 cites W1546523058 @default.
- W2161662027 cites W1552064164 @default.
- W2161662027 cites W1561804107 @default.
- W2161662027 cites W1576047498 @default.
- W2161662027 cites W1580364473 @default.
- W2161662027 cites W1581081843 @default.
- W2161662027 cites W1588690085 @default.
- W2161662027 cites W1595299803 @default.
- W2161662027 cites W1649205238 @default.
- W2161662027 cites W1717697016 @default.
- W2161662027 cites W1730589503 @default.
- W2161662027 cites W174593049 @default.
- W2161662027 cites W1966494537 @default.
- W2161662027 cites W1971031514 @default.
- W2161662027 cites W1976317417 @default.
- W2161662027 cites W1978300329 @default.
- W2161662027 cites W1979627408 @default.
- W2161662027 cites W1980068960 @default.
- W2161662027 cites W198266727 @default.
- W2161662027 cites W1983652428 @default.
- W2161662027 cites W1985018066 @default.
- W2161662027 cites W1986903447 @default.
- W2161662027 cites W1991634692 @default.
- W2161662027 cites W1996450459 @default.
- W2161662027 cites W200028774 @default.
- W2161662027 cites W2001654558 @default.
- W2161662027 cites W2005158847 @default.
- W2161662027 cites W2007818171 @default.
- W2161662027 cites W2011279645 @default.
- W2161662027 cites W2012189453 @default.
- W2161662027 cites W2013932684 @default.
- W2161662027 cites W2022610613 @default.
- W2161662027 cites W2022958749 @default.
- W2161662027 cites W2029253577 @default.
- W2161662027 cites W2040425860 @default.
- W2161662027 cites W2041550349 @default.
- W2161662027 cites W2044655941 @default.
- W2161662027 cites W2045303280 @default.
- W2161662027 cites W2057240682 @default.
- W2161662027 cites W2057395645 @default.
- W2161662027 cites W2063687989 @default.
- W2161662027 cites W2067392143 @default.
- W2161662027 cites W2075296685 @default.
- W2161662027 cites W2076458153 @default.
- W2161662027 cites W2077791698 @default.
- W2161662027 cites W2078274626 @default.
- W2161662027 cites W2081877251 @default.
- W2161662027 cites W2084397403 @default.
- W2161662027 cites W2087854199 @default.
- W2161662027 cites W2089020092 @default.
- W2161662027 cites W2090220594 @default.
- W2161662027 cites W2092120257 @default.
- W2161662027 cites W2093205702 @default.
- W2161662027 cites W2095261998 @default.
- W2161662027 cites W2095487918 @default.
- W2161662027 cites W2098612888 @default.
- W2161662027 cites W2099593114 @default.
- W2161662027 cites W2100359260 @default.
- W2161662027 cites W2105832006 @default.
- W2161662027 cites W2109046559 @default.
- W2161662027 cites W2112196420 @default.
- W2161662027 cites W2113687945 @default.
- W2161662027 cites W2113722078 @default.
- W2161662027 cites W2114102890 @default.
- W2161662027 cites W2115747715 @default.
- W2161662027 cites W2120537282 @default.
- W2161662027 cites W2121034459 @default.
- W2161662027 cites W2122251386 @default.
- W2161662027 cites W2123829975 @default.
- W2161662027 cites W2131009816 @default.
- W2161662027 cites W2132055867 @default.
- W2161662027 cites W2132942366 @default.
- W2161662027 cites W2139768402 @default.
- W2161662027 cites W2143953858 @default.
- W2161662027 cites W2149867011 @default.
- W2161662027 cites W2156109180 @default.
- W2161662027 cites W2164288937 @default.
- W2161662027 cites W2165807407 @default.
- W2161662027 cites W2178613958 @default.
- W2161662027 cites W2188074189 @default.
- W2161662027 cites W2198865867 @default.
- W2161662027 cites W2245573264 @default.
- W2161662027 cites W2250513429 @default.
- W2161662027 cites W2320684320 @default.
- W2161662027 cites W2325684577 @default.