VECTOR STOCHASTIC INTEGRALS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING

By Albert N. Shiryaev, Alexander S. Cherny. 2003

75 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/22f15e3584bd218cdefb74afa78426ab30209709

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1. St'ephane Cr'epey
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Citations in the corpus

• Arbitrage pricing of defaultable game options with applications to convertible bonds (2008, methodology): “…Technology, Chicago, IL 60616, USA zDépartement de Mathématiques, Université d’Évry Val d’Essonne, 91025 Évry Cedex, France xSchool of Mathematics and Statistics, University of New South Wales, Sydney, NSW 2052, Australia {Faculty of Mathematics and Information Science, Warsaw University of…”
• The numéraire portfolio in semimartingale financial models (2007, background): “We are assuming vector stochastic integration, good accounts of which can be found in [5, 6, 21].”
• About the Pricing Equations in Finance (2011, background): “By classic arbitrage theory (see, e.g., [18, 32 , 42]), the NFLVR condition in a perfect market (without transaction costs, in particular) is equivalent to the existence of a risk-neutral measure P ∈M ,w hereM denotes the set of probability measures P ∼ � such that β �”