Cover Image

Criteria for the absence of arbitrage in general diffusion markets

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Criens, David, Urusov, Mikhail
Format:	Preprint
Published:	2023
Subjects:	Mathematical Finance Probability 60G44, 60H10, 60J60, 91B70, 91G15, 91G30
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)

Separating Times for One-Dimensional General Diffusions
by: Criens, David, et al.
Published: (2022)

The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
by: Dominguez, Alejandro Rodriguez
Published: (2026)

The Mean Field Market Model Revisited
by: Hasenbichler, Manuel, et al.
Published: (2023)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
by: Hu, Ying, et al.
Published: (2017)

Pricing and hedging for a sticky diffusion
by: Anagnostakis, Alexis
Published: (2023)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
by: Das, Kaustav, et al.
Published: (2021)

Universal basic income in a financial equilibrium
by: Weston, Kim
Published: (2026)

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)

Hedging in Jump Diffusion Model with Transaction Costs
by: Almani, Hamidreza Maleki, et al.
Published: (2024)

On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility
by: Kopeliovich, Yaacov, et al.
Published: (2024)

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
by: Burés, Òscar
Published: (2025)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)

Open Markets and Hybrid Jacobi Processes
by: Itkin, David, et al.
Published: (2021)

Calibration of the Bass Local Volatility model
by: Acciaio, Beatrice, et al.
Published: (2023)

Ergodic robust maximization of asymptotic growth with stochastic factor processes
by: Itkin, David, et al.
Published: (2022)

Cross-Currency Basis Swaps Referencing Backward-Looking Rates
by: Ding, Yining, et al.
Published: (2024)

Choice of Collateral Currency in Differential Swaps
by: Ding, Yining, et al.
Published: (2026)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
by: Alòs, Elisa, et al.
Published: (2025)

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)

Linear short rate model with several delays
by: Roux, Alet, et al.
Published: (2024)

On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
by: Kabanov, Yuri, et al.
Published: (2026)

Pricing VIX options under the Heston-Hawkes stochastic volatility model
by: Font, Oriol Zamora
Published: (2024)

Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)

Stochastic portfolio theory with price impact
by: Itkin, David
Published: (2025)

Call Option Price using Pearson Diffusion Processes
by: Kar, Tapan, et al.
Published: (2025)

The value of partial information
by: Ernst, Philip A., et al.
Published: (2025)

The indifference value of the weak information
by: Baudoin, Fabrice, et al.
Published: (2024)

The insider problem in the trinomial model: a discrete-time jump process approach
by: Halconruy, Hélène
Published: (2021)

Multifactor Quadratic Hobson and Rogers models
by: Foschi, Paolo
Published: (2025)

Stochastic factors can matter: improving robust growth under ergodicity
by: Binkert, Balint, et al.
Published: (2025)

Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
by: Qian, Zhongmin, et al.
Published: (2018)

Relative Arbitrage Opportunities with Interactions among $N$ Investors
by: Ichiba, Tomoyuki, et al.
Published: (2020)

Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
by: Backhoff, Julio, et al.
Published: (2024)