NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
By Paolo Guasoni. 2006
203 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0213f65af595dba6c9f8014c88bab04e3f1381cc
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Miklós Rásonyi
- Peter K. Friz
- Christian Bender
- Esko Valkeila
- Tommi Sottinen
- Christian Litterer
- Paolo Guasoni
- Walter Schachermayer
In Finance
- Peter K. Friz
- Nicolas Victoir
- Samy Tindel
- T. Cass
- Terry Lyons
- Christian Litterer
- Miklós Rásonyi
- David Nualart
Citations in the corpus
- The fundamental theorem of asset pricing for continuous processes under small transaction costs (2010, background): “In [ G06 ] it was shown that this model is arbitrage-free under arbitrarily small (proportional) transaction costs.”
- Arbitrage with fractional Brownian motion (2007, background): “(iv) Under proportional transaction costs, absence of arbitrage for the fractional Black-Scholes models is proved in [14].”
- Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (2010, methodology): “Support theorems for (simple) differential equations driven by Gaussian processes have been used in a financial context to construct markets without arbribtrage under transaction costs [70].”
- On data depth in infinite dimensional spaces (2014, background): “1 in Guasoni (2006) that the support of a fractional Brownian motion, say {Zt}t∈[0,1], starting at zero is the whole of C0[0, 1].”
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion (2010, background): “Moreover, after some controversial discussions (see [3] for a summary of the early developments) fBm has established itself also in financial modelling, see e.g. [17, 2].”
- Duality theory for portfolio optimisation under transaction costs (2014, background): “For the prime example of a non-semimartingale, fractional Brownian motion, the existence of consistent price systems is established in Guasoni [26].”
- Integrability Estimates for Gaussian Rough Differential Equations (2011, methodology): “randomly forced Navier-Stokes systems [17]) via the modeling of financial markets under transaction costs ([15]) to the study of internet traffic through queueing models based on fractional Brownian motion (fBm) [16].”
- Consistent price systems and face-lifting pricing under transaction costs (2008, methodology): “1 of [17] and follows from a similar argument.”