Asymptotic arbitrage and large deviations

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Cite
Föllmer, H., and W. Schachermayer. “Asymptotic Arbitrage and Large Deviations”. Mathematics and Financial Economics, vol. 1, no. 3-4, 2008, pp. 213-49, https://doi.org/10.1007/s11579-008-0009-3.
Föllmer, H., & Schachermayer, W. (2008). Asymptotic arbitrage and large deviations. Mathematics and Financial Economics, 1(3-4), 213-249. https://doi.org/10.1007/s11579-008-0009-3
Föllmer H, Schachermayer W. Asymptotic arbitrage and large deviations. Mathematics and Financial Economics. 2008;1(3-4):213-49.
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Refrences
Title Journal Journal Categories Citations Publication Date
A large deviations approach to optimal long term investment Finance and Stochastics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 45 2003
10.1007/PL00013537 2001
10.1007/PL00013535 2001
Large deviations in estimation of an Ornstein-Uhlenbeck model

 Journal of Applied Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 51 1999
The asymptotic elasticity of utility functions and optimal investment in incomplete markets The Annals of Applied Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 525 1999
Refrences Analysis
Category Category Repetition
Science: Mathematics12
Social Sciences: Economic theory. Demography: Economics as a science12
Social Sciences: Commerce: Business6
Science: Mathematics: Probabilities. Mathematical statistics5
Technology: Engineering (General). Civil engineering (General)4
Social Sciences: Statistics2
Social Sciences: Finance2
Technology: Mechanical engineering and machinery2
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods2
Social Sciences: Commerce: Business: Accounting. Bookkeeping1
The category Science: Mathematics 12 is the most frequently represented among the references in this article. It primarily includes studies from Journal of Economic Theory The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
Title Journal Journal Categories Citations Publication Date
Invariant measures for multidimensional fractional stochastic volatility models

 Stochastics and Partial Differential Equations: Analysis and Computations
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 1 2022
ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL

 The ANZIAM Journal
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2021
Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss Chinese Annals of Mathematics
  • Science: Mathematics
 2019
Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model

 International Journal of Mathematics and Mathematical Sciences
  • Science: Mathematics
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2019
Harvesting Excess Volatility SSRN Electronic Journal 2017
Citations Analysis
Category Category Repetition
Science: Mathematics15
Science: Mathematics: Probabilities. Mathematical statistics7
Social Sciences: Finance5
Social Sciences: Statistics5
Social Sciences: Economic theory. Demography: Economics as a science5
Social Sciences: Commerce: Business5
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods4
Technology: Manufactures: Production management. Operations management1
Technology: Engineering (General). Civil engineering (General)1
Science: Science (General)1
The category Science: Mathematics 15 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Martingales and arbitrage: a new look and was published in 2009. The most recent citation comes from a 2022 study titled Invariant measures for multidimensional fractional stochastic volatility models. This article reached its peak citation in 2012, with 6 citations. It has been cited in 14 different journals, 7% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 4 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year