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dc.contributor.authorTaflin, Erik*
dc.contributor.authorLépinette, Emmanuel*
dc.contributor.authorBouchard, Bruno*
dc.date.accessioned2013-02-07T14:18:30Z
dc.date.available2013-02-07T14:18:30Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10962
dc.language.isoenen
dc.subjectcontinuous time bond marketen
dc.subjecttransaction costsen
dc.subjectNo-arbitrageen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD23en
dc.titleRobust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratoire d'Analyse, Géométrie et Modélisation (AGM) http://www.u-cergy.fr/rech/agm CNRS : UMR8088 – Université de Cergy Pontoise;France
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) http://www.crest.fr/ INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.description.abstractenWe propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible maturities. Our framework is well adapted to the study of no-arbitrage properties and related hedging problems. In particular, we extend the Fundamental Theorem of Asset Pricing of Guasoni, Ràsonyi and Lépinette (2012) which concentrates on the one dimensional case. Namely, we prove that the Robust No Free Lunch with Vanishing Risk assumption is equivalent to the existence of a Strictly Consistent Price System. Interestingly, the presence of transaction costs allows a natural definition of trading strategies and avoids all the technical and un-natural restrictions due to stochastic integration that appear in bond models without friction. We restrict to the case where exchange rates are continuous in time and leave the general càdlàg case for further studies.en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol124
dc.relation.isversionofjnlissue10
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages3231–3259
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.spa.2014.04.012
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00783977en
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
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