Local martingales, arbitrage, and viability Free snacks and cheap thrills

By Mark Loewenstein, G. Willard. 2000

168 citations recorded by the source corpus.

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HEDGING UNDER ARBITRAGE (2010, unknown): “A model of economic equilibrium for such models is provided in Loewenstein and Willard (2000a).”
A Benchmark Approach to Quantitative Finance (2006, background): “• Delbaen & Schachermayer (1998) free lunches with vanishing risk (FLVR) • Loewenstein & Willard (2000) free snacks& cheap thrills =⇒ no-arbitrage pricing makes no sense under BA c© Copyright Eckhard Platen 10 BA - Toronto C 1 19”
Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing (2009, unknown): “ the ﬁrst kind” was introduced in [14], although our deﬁnition is closer in spirit to arbitrages of the ﬁrst kind in the context of large ﬁnancial markets, as appears in [15]. One should also mention [22], where arbitrages of the ﬁrst kind are called cheapthrills. 3Finitely additive measures have ap”
Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2000, background): “Key examples of this literature include Basak and Croitoru (2000) and Loewenstein and Willard (2000a, 2000b, 2000c).”