A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This paper extends NUPBR concept for semimartingales with thin predictable sets.
This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of Aksamit/Choulli/Deng/Jeanblanc [1] in which the authors studied similar topics for the case of stopping…
In Karatzas and Kardaras's paper on semimartingale financial models, it is proved that the NUPBR condition is a property of the local characteristic of the asset process alone. In Takaoka's paper on NUPBR, it is proved that the NUPBR condition is equivalent to the existence of a simga-martingale deflator. However, Taka…
Investment strategy with consumption in risky markets, avoiding unlimited profits.
This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage. For this non-arbitrage notion, we ob…
Study arbitrage theory without numéraire, generalizing NUPBR.
This paper proposes two approaches that quantify the exact relationship among the viability, the absence of arbitrage, and/or the existence of the numéraire portfolio under minimal assumptions and for general continuous-time market models. Precisely, our first and principal contribution proves the equivalence among the…
Study no-arbitrage conditions in 1D diffusion markets with interest rates.
Extends Black-Scholes model to include arbitrage.
We show that \emph{No unbounded profit with bounded risk} (NUPBR) implies \emph{predictable uniform tightness} (P-UT), a boundedness property in the Emery topology which has been introduced by C. Stricker \cite{S:85}. Combining this insight with well known results from J. Mémin and L. Słominski \cite{MS:91} leads to a …
This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit classical arbitrages while the…
Extends utility maximization theory for infinite horizons without strong no-arbitrage assumptions.
The paper sets criteria for no arbitrage in complex financial models.
Study arbitrage and utility in insider markets, proving criteria and strategies.
Study shows no equivalent martingale measure in jump-diffusion models.
We solve optimal consumption in a market with bounded risk.
Paper develops a continuous-time framework for financial markets without stochastic calculus.
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with respect to which the relative wealth processes of all other portfolios are supermartingales. Necessary and sufficient c…
Abstract framework for no-arbitrage concepts in topological vector lattices.
The paper shows how to find shadow prices for portfolio optimization with transaction costs in fractional Brownian motion models.