Matches in SemOpenAlex for { <https://semopenalex.org/work/W2554504752> ?p ?o ?g. }
- W2554504752 abstract "We derive abstract as well as deterministic conditions for the absence and existence of arbitrage and financial bubbles in a general (multi- and infinite-dimensional) semimartingale-diffusion markets, and a Heath-Jarrow-Morton-Musiela framework. We also provide deterministic conditions for the martingale property of stochastic exponentials which are driven by solution to generalized martingale problems, respectively stochastic partial differential equations. As an application, we construct a financial market in which the number of assets determines the absence of arbitrage while the sources of risk have the same dimension." @default.
- W2554504752 created "2016-11-30" @default.
- W2554504752 creator A5036764370 @default.
- W2554504752 date "2016-09-06" @default.
- W2554504752 modified "2023-09-23" @default.
- W2554504752 title "Criteria for the Absence and Existence of Arbitrage in Multi- and Infinite-Dimensional Diffusion Markets" @default.
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