Making no-arbitrage discounting-invariant: A new FTAP version beyond NFLVR and NUPBR
Article Properties
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DOI (url)
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Publication Date2022/01/01
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Indian UGC (journal)
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Refrences41
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Citations3
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Dániel Ágoston Bálint Department of Mathematics, ETH Zürich, Rämistrasse 101, CH-8092 Zürich, Switzerland
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Martin Schweizer Department of Mathematics, ETH Zürich, Rämistrasse 101, CH-8092 Zürich, SwitzerlandSwiss Finance Institute, Walchestrasse 9, CH-8006 Zürich, Switzerland
Abstract
Cite
Bálint, Dániel Ágoston, and Martin Schweizer. “Making No-Arbitrage Discounting-Invariant: A New FTAP Version Beyond NFLVR and NUPBR”. Frontiers of Mathematical Finance, vol. 1, no. 2, 2022, p. 249, https://doi.org/10.3934/fmf.2021010.
Bálint, D. Ágoston, & Schweizer, M. (2022). Making no-arbitrage discounting-invariant: A new FTAP version beyond NFLVR and NUPBR. Frontiers of Mathematical Finance, 1(2), 249. https://doi.org/10.3934/fmf.2021010
Bálint, Dániel Ágoston, and Martin Schweizer. “Making No-Arbitrage Discounting-Invariant: A New FTAP Version Beyond NFLVR and NUPBR”. Frontiers of Mathematical Finance 1, no. 2 (2022): 249. https://doi.org/10.3934/fmf.2021010.
Bálint D Ágoston, Schweizer M. Making no-arbitrage discounting-invariant: A new FTAP version beyond NFLVR and NUPBR. Frontiers of Mathematical Finance. 2022;1(2):249.
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| 10.1007/978-3-319-02069-3_16 | ||||
| Large Financial Markets: Asymptotic Arbitrage and Contiguity | Theory of Probability & Its Applications |
| 44 | 1995 |
| No arbitrage of the first kind and local martingale numéraires | Finance and Stochastics |
| 23 | 2016 |
| 10.1007/978-3-540-68121-2 | ||||
| 10.1007/BFb0096525 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
A stochastic control perspective on term structure models with roll-over risk | Finance and Stochastics |
| 2023 | |
No arbitrage and multiplicative special semimartingales | Advances in Applied Probability |
| 2023 | |
| A stochastic control perspective on term structure models with roll-over risk | SSRN Electronic Journal | 2023 |
Citations Analysis
The category
Science: Mathematics: Probabilities. Mathematical statistics 2
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled A stochastic control perspective on term structure models with roll-over risk and was published in 2023. The most recent citation comes from a 2023 study titled A stochastic control perspective on term structure models with roll-over risk. This article reached its peak citation in 2023, with 3 citations. It has been cited in 3 different journals. Among related journals, the Finance and Stochastics cited this research the most, with 1 citations. The chart below illustrates the annual citation trends for this article.