Smirnov, S. N. A guaranteed deterministic approach to superhedging: no arbitrage properties of the market. (English. Russian original) Zbl 07329688 Autom. Remote Control 82, No. 1, 172-187 (2021); translation from Mat. Teor. Igr Prilozh. 11, No. 2, 68-95 (2019). MSC: 91G20 91A80 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Autom. Remote Control 82, No. 1, 172--187 (2021; Zbl 07329688); translation from Mat. Teor. Igr Prilozh. 11, No. 2, 68--95 (2019) Full Text: DOI
Chen, Shiyi; Chng, Michael T.; Liu, Qingfu The implied arbitrage mechanism in financial markets. (English) Zbl 07327204 J. Econom. 222, No. 1, 468-483 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{S. Chen} et al., J. Econom. 222, No. 1, 468--483 (2021; Zbl 07327204) Full Text: DOI
Mostovoy, Jonathan; Domínguez, Tomás; Seco, Luis On arbitrage-free pricing in numeraire-free markets: with applications to forex and cryptocurrency. (English) Zbl 07326589 Zheng, Zhiyong (ed.), Proceedings of the first international forum on financial mathematics and financial technology, Suzhou, China, June 29 – July 2, 2019. Singapore: Springer (ISBN 978-981-15-8372-8/hbk; 978-981-15-8373-5/ebook). Financial Mathematics and Fintech, 21-33 (2021). MSC: 91G99 91B64 PDF BibTeX XML Cite \textit{J. Mostovoy} et al., in: Proceedings of the first international forum on financial mathematics and financial technology, Suzhou, China, June 29 -- July 2, 2019. Singapore: Springer. 21--33 (2021; Zbl 07326589) Full Text: DOI
Fontana, Claudio; Runggaldier, Wolfgang J. Arbitrage concepts under trading restrictions in discrete-time financial markets. (English) Zbl 07317279 J. Math. Econ. 92, 66-80 (2021). MSC: 91G15 91G10 PDF BibTeX XML Cite \textit{C. Fontana} and \textit{W. J. Runggaldier}, J. Math. Econ. 92, 66--80 (2021; Zbl 07317279) Full Text: DOI
Sadzik, Tomasz; Woolnough, Chris Rational destabilization in a frictionless market. (English) Zbl 07314474 J. Econ. Theory 192, Article ID 105169, 28 p. (2021). MSC: 91G15 PDF BibTeX XML Cite \textit{T. Sadzik} and \textit{C. Woolnough}, J. Econ. Theory 192, Article ID 105169, 28 p. (2021; Zbl 07314474) Full Text: DOI
Lee, Cheng Few; Zhang, Peter Guangping Parametric, semi-parametric, and non-parametric approaches for option-bound determination: review and comparison. (English) Zbl 1451.91201 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297-334 (2021). MSC: 91G20 62P05 60E15 90C05 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{P. G. Zhang}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297--334 (2021; Zbl 1451.91201) Full Text: DOI
Jusselin, Paul; Rosenbaum, Mathieu No-arbitrage implies power-law market impact and rough volatility. (English) Zbl 07326785 Math. Finance 30, No. 4, 1309-1336 (2020). MSC: 91G PDF BibTeX XML Cite \textit{P. Jusselin} and \textit{M. Rosenbaum}, Math. Finance 30, No. 4, 1309--1336 (2020; Zbl 07326785) Full Text: DOI
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan Robust XVA. (English) Zbl 07326768 Math. Finance 30, No. 3, 738-781 (2020). MSC: 91G PDF BibTeX XML Cite \textit{M. Bichuch} et al., Math. Finance 30, No. 3, 738--781 (2020; Zbl 07326768) Full Text: DOI
Lipton, Alexander; López de Prado, Marcos A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies. (English) Zbl 07323559 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050056, 34 p. (2020). MSC: 91G15 60J70 PDF BibTeX XML Cite \textit{A. Lipton} and \textit{M. López de Prado}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050056, 34 p. (2020; Zbl 07323559) Full Text: DOI
de Gennaro Aquino, Luca; Bernard, Carole Bounds on multi-asset derivatives via neural networks. (English) Zbl 07323553 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050050, 31 p. (2020). MSC: 91G20 68T05 PDF BibTeX XML Cite \textit{L. de Gennaro Aquino} and \textit{C. Bernard}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050050, 31 p. (2020; Zbl 07323553) Full Text: DOI
Blanchard, Romain; Carassus, Laurence No-arbitrage with multiple-priors in discrete time. (English) Zbl 07312344 Stochastic Processes Appl. 130, No. 11, 6657-6688 (2020). MSC: 91G99 PDF BibTeX XML Cite \textit{R. Blanchard} and \textit{L. Carassus}, Stochastic Processes Appl. 130, No. 11, 6657--6688 (2020; Zbl 07312344) Full Text: DOI
Pichl, Lukáš; Nan, Zheng; Kaizoji, Taisei Time series analysis of ether cryptocurrency prices: efficiency, predictability, and arbitrage on exchange rates. (English) Zbl 07306696 Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore (ISBN 978-981-15-4497-2/hbk; 978-981-15-4498-9/ebook). 183-196 (2020). MSC: 91G99 62P05 62M10 PDF BibTeX XML Cite \textit{L. Pichl} et al., in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 183--196 (2020; Zbl 07306696) Full Text: DOI
Ng, Chi Tim; Shi, Yue; Chan, Ngai Hang Markowitz portfolio and the blur of history. (English) Zbl 07303447 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050030, 19 p. (2020). MSC: 91G10 PDF BibTeX XML Cite \textit{C. T. Ng} et al., Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050030, 19 p. (2020; Zbl 07303447) Full Text: DOI
Jarrow, Robert; Larsson, Martin Informational efficiency with trading constraints: a characterization. (English) Zbl 07296662 SIAM J. Financ. Math. 11, No. 4, 959-973 (2020). MSC: 91G15 60G44 PDF BibTeX XML Cite \textit{R. Jarrow} and \textit{M. Larsson}, SIAM J. Financ. Math. 11, No. 4, 959--973 (2020; Zbl 07296662) Full Text: DOI
Smirnov, Sergeĭ N. A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem. (Russian. English summary) Zbl 07291879 Mat. Teor. Igr Prilozh. 12, No. 3, 50-88 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mat. Teor. Igr Prilozh. 12, No. 3, 50--88 (2020; Zbl 07291879) Full Text: MNR
Smirnov, S. N. Geometric criterion for a robust condition of no sure arbitrage with unlimited profit. (English. Russian original) Zbl 1452.91300 Mosc. Univ. Comput. Math. Cybern. 44, No. 3, 146-150 (2020); translation from Vestn. Mosk. Univ., Ser. XV 2020, No. 3, 43-48 (2020). MSC: 91G15 91G30 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mosc. Univ. Comput. Math. Cybern. 44, No. 3, 146--150 (2020; Zbl 1452.91300); translation from Vestn. Mosk. Univ., Ser. XV 2020, No. 3, 43--48 (2020) Full Text: DOI
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan Cohort and value-based multi-country longevity risk management. (English) Zbl 1448.91267 Scand. Actuar. J. 2020, No. 7, 650-676 (2020). MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{M. Sherris} et al., Scand. Actuar. J. 2020, No. 7, 650--676 (2020; Zbl 1448.91267) Full Text: DOI
Zhao, J.; Lépinette, E. A complement to the Grigoriev theorem for the Kabanov model. (English. Russian original) Zbl 1453.91092 Theory Probab. Appl. 65, No. 2, 322-329 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 409-419 (2020). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G15 PDF BibTeX XML Cite \textit{J. Zhao} and \textit{E. Lépinette}, Theory Probab. Appl. 65, No. 2, 322--329 (2020; Zbl 1453.91092); translation from Teor. Veroyatn. Primen. 65, No. 2, 409--419 (2020) Full Text: DOI Link
Bálint, D. Á.; Schweizer, M. Large financial markets, discounting, and no asymptotic arbitrage. (English. Russian original) Zbl 1448.91277 Theory Probab. Appl. 65, No. 2, 191-223 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 237-280 (2020). Reviewer: Gerhard-Wilhelm Weber (Poznań and Ankara) with Emel Savku (Oslo) MSC: 91G15 91G80 91B24 91B70 PDF BibTeX XML Cite \textit{D. Á. Bálint} and \textit{M. Schweizer}, Theory Probab. Appl. 65, No. 2, 191--223 (2020; Zbl 1448.91277); translation from Teor. Veroyatn. Primen. 65, No. 2, 237--280 (2020) Full Text: DOI Link
Smirnov, Sergeĭ N. A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium. (Russian. English summary) Zbl 1444.91213 Mat. Teor. Igr Prilozh. 12, No. 1, 60-90 (2020). MSC: 91G20 91A80 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mat. Teor. Igr Prilozh. 12, No. 1, 60--90 (2020; Zbl 1444.91213) Full Text: MNR
Carassus, Laurence; Rásonyi, Miklós Risk-neutral pricing for arbitrage pricing theory. (English) Zbl 1454.91214 J. Optim. Theory Appl. 186, No. 1, 248-263 (2020). Reviewer: Roberto C. Raimondo (Melbourne) MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{L. Carassus} and \textit{M. Rásonyi}, J. Optim. Theory Appl. 186, No. 1, 248--263 (2020; Zbl 1454.91214) Full Text: DOI
Schnaubelt, Matthias; Fischer, Thomas G.; Krauss, Christopher Separating the signal from the noise – financial machine learning for Twitter. (English) Zbl 07214742 J. Econ. Dyn. Control 114, Article ID 103895, 21 p. (2020). MSC: 91 PDF BibTeX XML Cite \textit{M. Schnaubelt} et al., J. Econ. Dyn. Control 114, Article ID 103895, 21 p. (2020; Zbl 07214742) Full Text: DOI
Criens, David No arbitrage in continuous financial markets. (English) Zbl 1443.91272 Math. Financ. Econ. 14, No. 3, 461-506 (2020). MSC: 91G15 60G44 60H30 PDF BibTeX XML Cite \textit{D. Criens}, Math. Financ. Econ. 14, No. 3, 461--506 (2020; Zbl 1443.91272) Full Text: DOI
Burzoni, Matteo; Šikić, Mario Robust martingale selection problem and its connections to the no-arbitrage theory. (English) Zbl 07200957 Math. Finance 30, No. 1, 260-286 (2020). MSC: 91G PDF BibTeX XML Cite \textit{M. Burzoni} and \textit{M. Šikić}, Math. Finance 30, No. 1, 260--286 (2020; Zbl 07200957) Full Text: DOI
Monteiro, Ana M.; Santos, Antonio A. F. Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. (English) Zbl 1437.91433 Rev. Deriv. Res. 23, No. 1, 41-61 (2020). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{A. M. Monteiro} and \textit{A. A. F. Santos}, Rev. Deriv. Res. 23, No. 1, 41--61 (2020; Zbl 1437.91433) Full Text: DOI
Bender, Christian; Thiel, Matthias Arbitrage-free interpolation of call option prices. (English) Zbl 1433.91193 Stat. Risk. Model. 37, No. 1-2, 55-78 (2020). MSC: 91G60 65D05 91G20 PDF BibTeX XML Cite \textit{C. Bender} and \textit{M. Thiel}, Stat. Risk. Model. 37, No. 1--2, 55--78 (2020; Zbl 1433.91193) Full Text: DOI
Karatzas, Ioannis; Kim, Donghan Trading strategies generated pathwise by functions of market weights. (English) Zbl 1433.91164 Finance Stoch. 24, No. 2, 423-463 (2020). MSC: 91G15 60G48 60H05 91G10 PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{D. Kim}, Finance Stoch. 24, No. 2, 423--463 (2020; Zbl 1433.91164) Full Text: DOI
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio The value of informational arbitrage. (English) Zbl 1433.91151 Finance Stoch. 24, No. 2, 277-307 (2020). MSC: 91G10 60G44 91B44 PDF BibTeX XML Cite \textit{H. N. Chau} et al., Finance Stoch. 24, No. 2, 277--307 (2020; Zbl 1433.91151) Full Text: DOI
Björk, Tomas Arbitrage theory in continuous time. 4th edition. (English) Zbl 07169770 Oxford Finance Series. Oxford: Oxford University Press (ISBN 978-0-19-885161-5/hbk). xxi, 561 p. (2020). Reviewer: Piotr Jaworski (Warszawa) MSC: 91-01 91G20 91G15 91G30 60G40 60G44 PDF BibTeX XML Cite \textit{T. Björk}, Arbitrage theory in continuous time. 4th edition. Oxford: Oxford University Press (2020; Zbl 07169770) Full Text: DOI
Cui, Zhenyu; Qian, Wenhan; Taylor, Stephen; Zhu, Lingjiong Detecting and identifying arbitrage in the spot foreign exchange market. (English) Zbl 1431.91377 Quant. Finance 20, No. 1, 119-132 (2020). MSC: 91G15 60F10 60G55 PDF BibTeX XML Cite \textit{Z. Cui} et al., Quant. Finance 20, No. 1, 119--132 (2020; Zbl 1431.91377) Full Text: DOI
Eo, Yunjong; Kang, Kyu Ho The effects of conventional and unconventional monetary policy on forecasting the yield curve. (English) Zbl 07161301 J. Econ. Dyn. Control 111, Article ID 103812, 16 p. (2020). MSC: 91 PDF BibTeX XML Cite \textit{Y. Eo} and \textit{K. H. Kang}, J. Econ. Dyn. Control 111, Article ID 103812, 16 p. (2020; Zbl 07161301) Full Text: DOI
Dhaene, Jan; Kukush, Alexander; Linders, Daniël Comonotonic asset prices in arbitrage-free markets. (English) Zbl 1430.91108 J. Comput. Appl. Math. 364, Article ID 112310, 13 p. (2020). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Dhaene} et al., J. Comput. Appl. Math. 364, Article ID 112310, 13 p. (2020; Zbl 1430.91108) Full Text: DOI
Cruise, James; Flatley, Lisa; Gibbens, Richard; Zachary, Stan Control of energy storage with market impact: Lagrangian approach and horizons. (English) Zbl 1443.90210 Oper. Res. 67, No. 1, 1-9 (2019). MSC: 90B50 PDF BibTeX XML Cite \textit{J. Cruise} et al., Oper. Res. 67, No. 1, 1--9 (2019; Zbl 1443.90210) Full Text: DOI
Smirnov, Sergeĭ N. A guaranteed deterministic approach to superhedging: the proprieties of semicontinuity and continuity of the Bellman-Isaacs equations. (Russian. English summary) Zbl 1444.91212 Mat. Teor. Igr Prilozh. 11, No. 4, 87-115 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mat. Teor. Igr Prilozh. 11, No. 4, 87--115 (2019; Zbl 1444.91212) Full Text: DOI MNR
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, Marco; Obłój, Jan Pointwise arbitrage pricing theory in discrete time. (English) Zbl 1437.90159 Math. Oper. Res. 44, No. 3, 1034-1057 (2019). MSC: 90C46 90C47 90C17 91G20 49K45 49N15 60G42 93E20 91G70 PDF BibTeX XML Cite \textit{M. Burzoni} et al., Math. Oper. Res. 44, No. 3, 1034--1057 (2019; Zbl 1437.90159) Full Text: DOI
Malykh, N. O.; Postevoy, I. S. Calculation of the convexity adjustment to the forward rate in the Vašíček model for the forward in-arrears contracts on LIBOR rate. (English) Zbl 1454.91319 Theory Probab. Math. Stat. 99, 189-198 (2019) and Teor. Jmovirn. Mat. Stat. 99, 168-176 (2018). Reviewer: Stefan Tappe (Freiburg) MSC: 91G30 PDF BibTeX XML Cite \textit{N. O. Malykh} and \textit{I. S. Postevoy}, Theory Probab. Math. Stat. 99, 189--198 (2019; Zbl 1454.91319) Full Text: DOI
Gębarowski, Robert; Oświęcimka, Paweł; Wątorek, Marcin; Drożdż, Stanisław Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis. (English) Zbl 1430.62193 Nonlinear Dyn. 98, No. 3, 2349-2364 (2019). MSC: 62M10 37M10 62P05 91B84 PDF BibTeX XML Cite \textit{R. Gębarowski} et al., Nonlinear Dyn. 98, No. 3, 2349--2364 (2019; Zbl 1430.62193) Full Text: DOI
Le Floc’h, Fabien; Oosterlee, Cornelis W. Model-free stochastic collocation for an arbitrage-free implied volatility. I. (English) Zbl 1431.91400 Decis. Econ. Finance 42, No. 2, 679-714 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{F. Le Floc'h} and \textit{C. W. Oosterlee}, Decis. Econ. Finance 42, No. 2, 679--714 (2019; Zbl 1431.91400) Full Text: DOI
Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; Martini, Claude Robust calibration and arbitrage-free interpolation of SSVI slices. (English) Zbl 1431.91390 Decis. Econ. Finance 42, No. 2, 665-677 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Corbetta} et al., Decis. Econ. Finance 42, No. 2, 665--677 (2019; Zbl 1431.91390) Full Text: DOI
Guijarro-Ordonez, Jorge High-dimensional statistical arbitrage with factor models and stochastic control. (English) Zbl 1430.91095 Appl. Math. Finance 26, No. 4, 328-358 (2019). MSC: 91G15 91G10 60J60 93E20 PDF BibTeX XML Cite \textit{J. Guijarro-Ordonez}, Appl. Math. Finance 26, No. 4, 328--358 (2019; Zbl 1430.91095) Full Text: DOI
Simard, Clarence; Rémillard, Bruno Pricing European options in a discrete time model for the limit order book. (English) Zbl 1430.91115 Methodol. Comput. Appl. Probab. 21, No. 3, 985-1005 (2019). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{C. Simard} and \textit{B. Rémillard}, Methodol. Comput. Appl. Probab. 21, No. 3, 985--1005 (2019; Zbl 1430.91115) Full Text: DOI
Jarrow, Robert; Protter, Philip A rational asset pricing model for premiums and discounts on closed-end funds: the bubble theory. (English) Zbl 1435.91187 Math. Finance 29, No. 4, 1157-1170 (2019). Reviewer: John O’Hara (Wivenhoe Park) MSC: 91G20 PDF BibTeX XML Cite \textit{R. Jarrow} and \textit{P. Protter}, Math. Finance 29, No. 4, 1157--1170 (2019; Zbl 1435.91187) Full Text: DOI
Kovacevic, Raimund M. Arbitrage conditions for electricity markets with production and storage. (English) Zbl 07137449 Comput. Manag. Sci. 16, No. 4, 671-696 (2019). MSC: 90B PDF BibTeX XML Cite \textit{R. M. Kovacevic}, Comput. Manag. Sci. 16, No. 4, 671--696 (2019; Zbl 07137449) Full Text: DOI
Smirnov, Sergey N. Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations. (English) Zbl 1427.91281 Petrosyan, Leon A. (ed.) et al., Frontiers of dynamic games. Game theory and management, St. Petersburg, 2018. Selected talks presented at the 12th international conference “Game Theory and Management”, GTM2018, St. Petersburg, Russia, June 27–29, 2018. Cham: Birkhäuser. Static Dyn. Game Theory: Found. Appl., 267-288 (2019). MSC: 91G20 60G40 91A80 PDF BibTeX XML Cite \textit{S. N. Smirnov}, in: Frontiers of dynamic games. Game theory and management, St. Petersburg, 2018. Selected talks presented at the 12th international conference ``Game Theory and Management'', GTM2018, St. Petersburg, Russia, June 27--29, 2018. Cham: Birkhäuser. 267--288 (2019; Zbl 1427.91281) Full Text: DOI
Mai, Jan-Frederik Pricing-hedging duality for credit default swaps and the negative basis arbitrage. (English) Zbl 1426.91289 Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950032, 17 p. (2019). MSC: 91G40 91G20 91G10 PDF BibTeX XML Cite \textit{J.-F. Mai}, Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950032, 17 p. (2019; Zbl 1426.91289) Full Text: DOI
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Mittnik, Stefan; Fabozzi, Frank J. Pricing derivatives in Hermite markets. (English) Zbl 1426.91279 Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950031, 27 p. (2019). MSC: 91G20 91G10 60G22 35Q91 PDF BibTeX XML Cite \textit{S. V. Stoyanov} et al., Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950031, 27 p. (2019; Zbl 1426.91279) Full Text: DOI
Casgrain, Philippe; Jaimungal, Sebastian Trading algorithms with learning in latent alpha models. (English) Zbl 1426.91241 Math. Finance 29, No. 3, 735-772 (2019). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{P. Casgrain} and \textit{S. Jaimungal}, Math. Finance 29, No. 3, 735--772 (2019; Zbl 1426.91241) Full Text: DOI
Smirnov, Sergeiĭ N. A guaranteed deterministic approach to superhedging: no arbitrage market condition. (Russian. English summary) Zbl 1426.91278 Mat. Teor. Igr Prilozh. 11, No. 2, 68-95 (2019); translation in Autom. Remote Control 2021, No. 1, 172-187 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mat. Teor. Igr Prilozh. 11, No. 2, 68--95 (2019; Zbl 1426.91278); translation in Autom. Remote Control 2021, No. 1, 172--187 (2021) Full Text: MNR
Mikolajun, Irena; Viaene, Jean-Marie Is hard Brexit detrimental to EU integration? Theory and evidence. (English) Zbl 1425.91285 Open Econ. Rev. 30, No. 4, 621-654 (2019). MSC: 91B60 91B82 60J70 PDF BibTeX XML Cite \textit{I. Mikolajun} and \textit{J.-M. Viaene}, Open Econ. Rev. 30, No. 4, 621--654 (2019; Zbl 1425.91285) Full Text: DOI
Kovacevic, Raimund M. Valuation and pricing of electricity delivery contracts: the producer’s view. (English) Zbl 1427.91183 Ann. Oper. Res. 275, No. 2, 421-460 (2019). MSC: 91B74 91B24 PDF BibTeX XML Cite \textit{R. M. Kovacevic}, Ann. Oper. Res. 275, No. 2, 421--460 (2019; Zbl 1427.91183) Full Text: DOI
Endres, Sylvia; Stübinger, Johannes A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (English) Zbl 1422.91801 Quant. Finance 19, No. 10, 1727-1740 (2019). MSC: 91G99 60J60 PDF BibTeX XML Cite \textit{S. Endres} and \textit{J. Stübinger}, Quant. Finance 19, No. 10, 1727--1740 (2019; Zbl 1422.91801) Full Text: DOI
Stübinger, Johannes Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500. (English) Zbl 1420.91556 Quant. Finance 19, No. 6, 921-935 (2019). MSC: 91G99 PDF BibTeX XML Cite \textit{J. Stübinger}, Quant. Finance 19, No. 6, 921--935 (2019; Zbl 1420.91556) Full Text: DOI
Knoll, Julian; Stübinger, Johannes; Grottke, Michael Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S&P 500. (English) Zbl 1420.91548 Quant. Finance 19, No. 4, 571-585 (2019). MSC: 91G99 68T05 PDF BibTeX XML Cite \textit{J. Knoll} et al., Quant. Finance 19, No. 4, 571--585 (2019; Zbl 1420.91548) Full Text: DOI
Hayashi, Takaki; Koike, Yuta No arbitrage and lead-lag relationships. (English) Zbl 07109965 Stat. Probab. Lett. 154, Article ID 108530, 11 p. (2019). MSC: 91G15 60G44 60H30 PDF BibTeX XML Cite \textit{T. Hayashi} and \textit{Y. Koike}, Stat. Probab. Lett. 154, Article ID 108530, 11 p. (2019; Zbl 07109965) Full Text: DOI arXiv
Pal, Soumik Exponentially concave functions and high dimensional stochastic portfolio theory. (English) Zbl 1422.91665 Stochastic Processes Appl. 129, No. 9, 3116-3128 (2019). MSC: 91G10 60J60 60J70 60J35 PDF BibTeX XML Cite \textit{S. Pal}, Stochastic Processes Appl. 129, No. 9, 3116--3128 (2019; Zbl 1422.91665) Full Text: DOI arXiv
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique No-arbitrage under additional information for thin semimartingale models. (English) Zbl 07107496 Stochastic Processes Appl. 129, No. 9, 3080-3115 (2019). MSC: 60 PDF BibTeX XML Cite \textit{A. Aksamit} et al., Stochastic Processes Appl. 129, No. 9, 3080--3115 (2019; Zbl 07107496) Full Text: DOI
Kühn, Christoph; Molitor, Alexander Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. (English) Zbl 1444.91216 Finance Stoch. 23, No. 4, 1049-1077 (2019). MSC: 91G30 91G15 PDF BibTeX XML Cite \textit{C. Kühn} and \textit{A. Molitor}, Finance Stoch. 23, No. 4, 1049--1077 (2019; Zbl 1444.91216) Full Text: DOI
Tesoriere, Antonio Stable sharing rules and participation in pools of essential patents. (English) Zbl 1425.91245 Games Econ. Behav. 117, 40-58 (2019). MSC: 91B38 PDF BibTeX XML Cite \textit{A. Tesoriere}, Games Econ. Behav. 117, 40--58 (2019; Zbl 1425.91245) Full Text: DOI
Moreira, Alan Capital immobility and the reach for yield. (English) Zbl 1422.91663 J. Econ. Theory 183, 907-951 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{A. Moreira}, J. Econ. Theory 183, 907--951 (2019; Zbl 1422.91663) Full Text: DOI
Frahm, Gabriel; Jonen, Alexander; Schüssler, Rainer The fundamental theorems of asset pricing and the closed-end fund puzzle. (English) Zbl 1422.91651 Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950025, 31 p. (2019). MSC: 91G10 91B25 PDF BibTeX XML Cite \textit{G. Frahm} et al., Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950025, 31 p. (2019; Zbl 1422.91651) Full Text: DOI
Dhankar, Raj S. Risk-return relationship and portfolio management. (English) Zbl 1442.91001 India Studies in Business and Economics. New Delhi: Springer (ISBN 978-81-322-3948-2/hbk; 978-81-322-3950-5/ebook). xxii, 323 p. (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91G10 91G15 91G70 91B06 PDF BibTeX XML Cite \textit{R. S. Dhankar}, Risk-return relationship and portfolio management. New Delhi: Springer (2019; Zbl 1442.91001) Full Text: DOI
Andreasen, Martin M.; Christensen, Jens H. E.; Rudebusch, Glenn D. Term structure analysis with big data: one-step estimation using bond prices. (English) Zbl 1452.62740 J. Econom. 212, No. 1, 26-46 (2019). MSC: 62P05 62M20 91G30 PDF BibTeX XML Cite \textit{M. M. Andreasen} et al., J. Econom. 212, No. 1, 26--46 (2019; Zbl 1452.62740) Full Text: DOI
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre A general class of distortion operators for pricing contingent claims with applications to CAT bonds. (English) Zbl 1422.91695 Scand. Actuar. J. 2019, No. 7, 558-584 (2019). MSC: 91G20 91B30 62P05 PDF BibTeX XML Cite \textit{F. Godin} et al., Scand. Actuar. J. 2019, No. 7, 558--584 (2019; Zbl 1422.91695) Full Text: DOI
Ferrando, Sebastián E.; González, Alfredo L.; Degano, Iván L.; Rahsepar, Massoomeh Trajectorial market models: arbitrage and pricing intervals. (English) Zbl 1422.91692 Rev. Unión Mat. Argent. 60, No. 1, 149-185 (2019). MSC: 91G20 60G44 PDF BibTeX XML Cite \textit{S. E. Ferrando} et al., Rev. Unión Mat. Argent. 60, No. 1, 149--185 (2019; Zbl 1422.91692) Full Text: Link
Fontana, Claudio; Pelger, Markus; Platen, Eckhard On the existence of sure profits via flash strategies. (English) Zbl 1422.91650 J. Appl. Probab. 56, No. 2, 384-397 (2019). MSC: 91G10 60G44 60H30 PDF BibTeX XML Cite \textit{C. Fontana} et al., J. Appl. Probab. 56, No. 2, 384--397 (2019; Zbl 1422.91650) Full Text: DOI
Li, Jinfeng Time-consistent asymptotic exponential arbitrage with small probable maximum loss. (English) Zbl 1417.91464 Chin. Ann. Math., Ser. B 40, No. 4, 495-500 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{J. Li}, Chin. Ann. Math., Ser. B 40, No. 4, 495--500 (2019; Zbl 1417.91464) Full Text: DOI
Kühn, Christoph How local in time is the no-arbitrage property under capital gains taxes? (English) Zbl 1417.91571 Math. Financ. Econ. 13, No. 3, 329-358 (2019). MSC: 91G99 91B64 PDF BibTeX XML Cite \textit{C. Kühn}, Math. Financ. Econ. 13, No. 3, 329--358 (2019; Zbl 1417.91571) Full Text: DOI arXiv
Cuchiero, Christa Polynomial processes in stochastic portfolio theory. (English) Zbl 1426.91243 Stochastic Processes Appl. 129, No. 5, 1829-1872 (2019). MSC: 91G10 60H30 PDF BibTeX XML Cite \textit{C. Cuchiero}, Stochastic Processes Appl. 129, No. 5, 1829--1872 (2019; Zbl 1426.91243) Full Text: DOI arXiv
Huck, Nicolas Large data sets and machine learning: applications to statistical arbitrage. (English) Zbl 1414.91435 Eur. J. Oper. Res. 278, No. 1, 330-342 (2019). MSC: 91G80 62-07 62P05 PDF BibTeX XML Cite \textit{N. Huck}, Eur. J. Oper. Res. 278, No. 1, 330--342 (2019; Zbl 1414.91435) Full Text: DOI
Wang, Ming-Chieh; Huang, Li-Jhang Pricing cross-currency interest rate swaps under the Lévy market model. (English) Zbl 1415.91294 Rev. Deriv. Res. 22, No. 2, 329-355 (2019). MSC: 91G20 60G51 91G30 PDF BibTeX XML Cite \textit{M.-C. Wang} and \textit{L.-J. Huang}, Rev. Deriv. Res. 22, No. 2, 329--355 (2019; Zbl 1415.91294) Full Text: DOI
Toraubally, Waseem A. Arbitrage equilibria in large games with many commodities. (English) Zbl 1414.91042 Econ. Lett. 179, 24-28 (2019). MSC: 91A13 91B54 PDF BibTeX XML Cite \textit{W. A. Toraubally}, Econ. Lett. 179, 24--28 (2019; Zbl 1414.91042) Full Text: DOI
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie Foreign exchange markets with last look. (English) Zbl 1411.91488 Math. Financ. Econ. 13, No. 1, 1-30 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{Á. Cartea} et al., Math. Financ. Econ. 13, No. 1, 1--30 (2019; Zbl 1411.91488) Full Text: DOI
Braouezec, Yann; Joliet, Robert Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk. (English) Zbl 1411.91486 Econ. Lett. 178, 111-115 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{Y. Braouezec} and \textit{R. Joliet}, Econ. Lett. 178, 111--115 (2019; Zbl 1411.91486) Full Text: DOI
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter Stability for gains from large investors’ strategies in \(M_{1}/J_{1}\) topologies. (English) Zbl 07049401 Bernoulli 25, No. 2, 1105-1140 (2019). MSC: 60H10 60F17 91G10 PDF BibTeX XML Cite \textit{D. Becherer} et al., Bernoulli 25, No. 2, 1105--1140 (2019; Zbl 07049401) Full Text: DOI Euclid arXiv
Jarrow, Robert; Li, Haitao; Ye, Xiaoxia; Hu, May Exploring mispricing in the term structure of CDS spreads. (English) Zbl 1407.91252 Rev. Finance 23, No. 1, 161-198 (2019). MSC: 91G20 91G40 62P05 PDF BibTeX XML Cite \textit{R. Jarrow} et al., Rev. Finance 23, No. 1, 161--198 (2019; Zbl 1407.91252) Full Text: DOI
Degano, Iván; Ferrando, Sebastián; González, Alfredo Trajectory based market models: evaluation of minmax price bounds. (English) Zbl 1407.91219 Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 26, No. 2, 91-122 (2019). MSC: 91G10 91G20 49J35 49K35 49L20 91G80 90C39 PDF BibTeX XML Cite \textit{I. Degano} et al., Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 26, No. 2, 91--122 (2019; Zbl 1407.91219) Full Text: Link
Wang, Xingwang; Wei, Xiaohui; Liu, Yuanyuan; Gao, Shang On pricing approximate queries. (English) Zbl 1440.68065 Inf. Sci. 453, 198-215 (2018). MSC: 68P20 91B24 91B44 PDF BibTeX XML Cite \textit{X. Wang} et al., Inf. Sci. 453, 198--215 (2018; Zbl 1440.68065) Full Text: DOI
Bielecki, Tomasz R.; Cialenco, Igor; Rutkowski, Marek Arbitrage-free pricing of derivatives in nonlinear market models. (English) Zbl 1432.91119 Probab. Uncertain. Quant. Risk 3, Paper No. 2, 56 p. (2018). MSC: 91G20 91G40 60H10 PDF BibTeX XML Cite \textit{T. R. Bielecki} et al., Probab. Uncertain. Quant. Risk 3, Paper No. 2, 56 p. (2018; Zbl 1432.91119) Full Text: DOI
Cimpoiasu, Rodica New candidates for arbitrage-free stock price models via generalized conditional symmetry method. (English) Zbl 1427.91286 Appl. Math. Comput. 333, 460-466 (2018). MSC: 91G30 35Q91 PDF BibTeX XML Cite \textit{R. Cimpoiasu}, Appl. Math. Comput. 333, 460--466 (2018; Zbl 1427.91286) Full Text: DOI
Gottschalk, Hanno; Nizami, Elpida; Schubert, Marius Options in markets with unknown dynamics. (English) Zbl 1431.91393 Waves Wavelets Fractals, Adv. Anal. 4, 37-51 (2018). MSC: 91G20 60G51 62P05 60G44 91B24 PDF BibTeX XML Cite \textit{H. Gottschalk} et al., Waves Wavelets Fractals, Adv. Anal. 4, 37--51 (2018; Zbl 1431.91393) Full Text: DOI
Cordero, Fernando; Klein, Irene; Perez-Ostafe, Lavinia Asymptotic arbitrage in fractional mixed markets. (English) Zbl 1433.91162 Mod. Stoch., Theory Appl. 5, No. 4, 415-428 (2018). MSC: 91G15 60G22 60G15 PDF BibTeX XML Cite \textit{F. Cordero} et al., Mod. Stoch., Theory Appl. 5, No. 4, 415--428 (2018; Zbl 1433.91162) Full Text: DOI arXiv
Carvajal, Andrés Arbitrage pricing in non-Walrasian financial markets. (English) Zbl 1422.91686 Econ. Theory 66, No. 4, 951-978 (2018). MSC: 91G20 91A80 PDF BibTeX XML Cite \textit{A. Carvajal}, Econ. Theory 66, No. 4, 951--978 (2018; Zbl 1422.91686) Full Text: DOI
Habibi, Reza Optimal versus no arbitrage hedge ratio: a stochastic control approach. (English) Zbl 1449.91124 Adv. Model. Optim. 20, No. 1, 297-302 (2018). MSC: 91G10 91G20 93E20 PDF BibTeX XML Cite \textit{R. Habibi}, Adv. Model. Optim. 20, No. 1, 297--302 (2018; Zbl 1449.91124)
Long, Aoming; Bi, Xiuchun; Zhang, Shuguang An arbitrage strategy model for ferrous metal futures based on LSTM neural network. (Chinese. English summary) Zbl 1424.91132 J. Univ. Sci. Technol. China 48, No. 2, 125-132 (2018). MSC: 91G20 91-08 PDF BibTeX XML Cite \textit{A. Long} et al., J. Univ. Sci. Technol. China 48, No. 2, 125--132 (2018; Zbl 1424.91132) Full Text: DOI
Wei, Caimin; Lin, Xianwei; Fan, Zhun Binary option pricing with transaction costs and dividends in a fractional Brownian motion environment. (Chinese. English summary) Zbl 1424.91139 J. Math., Wuhan Univ. 38, No. 5, 912-920 (2018). MSC: 91G20 60G22 35Q91 PDF BibTeX XML Cite \textit{C. Wei} et al., J. Math., Wuhan Univ. 38, No. 5, 912--920 (2018; Zbl 1424.91139) Full Text: DOI
Ortmann, Karl Michael Preservation of risk in capital markets. (English) Zbl 07064553 Oper. Res. Lett. 46, No. 3, 329-334 (2018). MSC: 90 PDF BibTeX XML Cite \textit{K. M. Ortmann}, Oper. Res. Lett. 46, No. 3, 329--334 (2018; Zbl 07064553) Full Text: DOI
Eleftheriou, Maria; Müller-Plantenberg, Nikolas A. The purchasing power parity fallacy: time to reconsider the PPP hypothesis. (English) Zbl 1412.91147 Open Econ. Rev. 29, No. 3, 481-515 (2018). MSC: 91B64 PDF BibTeX XML Cite \textit{M. Eleftheriou} and \textit{N. A. Müller-Plantenberg}, Open Econ. Rev. 29, No. 3, 481--515 (2018; Zbl 1412.91147) Full Text: DOI
Smirnov, Sergeĭ N. A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations. (Russian. English summary) Zbl 1419.91628 Mat. Teor. Igr Prilozh. 10, No. 4, 59-99 (2018). MSC: 91G20 91A80 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mat. Teor. Igr Prilozh. 10, No. 4, 59--99 (2018; Zbl 1419.91628) Full Text: MNR
Chen, Zhiping; Yan, Zhe Practical arbitrage-free scenario tree reduction methods and their applications in financial optimization. (English) Zbl 1419.91579 Appl. Stoch. Models Bus. Ind. 34, No. 2, 175-195 (2018). MSC: 91G10 90C15 PDF BibTeX XML Cite \textit{Z. Chen} and \textit{Z. Yan}, Appl. Stoch. Models Bus. Ind. 34, No. 2, 175--195 (2018; Zbl 1419.91579) Full Text: DOI
Lo, Ambrose Derivative pricing. A problem-based primer. (English) Zbl 1422.91005 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-138-03335-1/hbk; 978-1-315-30122-8/ebook). xviii, 432 p. (2018). Reviewer: Paweł Kliber (Poznan) MSC: 91-01 91G20 60G40 91B30 60G44 PDF BibTeX XML Cite \textit{A. Lo}, Derivative pricing. A problem-based primer. Boca Raton, FL: CRC Press (2018; Zbl 1422.91005) Full Text: DOI
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher Statistical arbitrage with vine copulas. (English) Zbl 1407.62178 Quant. Finance 18, No. 11, 1831-1849 (2018). MSC: 62H05 62P05 PDF BibTeX XML Cite \textit{J. Stübinger} et al., Quant. Finance 18, No. 11, 1831--1849 (2018; Zbl 1407.62178) Full Text: DOI
Stübinger, Johannes; Endres, Sylvia Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. (English) Zbl 1406.91425 Quant. Finance 18, No. 10, 1735-1751 (2018). MSC: 91G10 60J75 PDF BibTeX XML Cite \textit{J. Stübinger} and \textit{S. Endres}, Quant. Finance 18, No. 10, 1735--1751 (2018; Zbl 1406.91425) Full Text: DOI
Foellmi, Reto; Hepenstrick, Christian; Josef, Zweimüller International arbitrage and the extensive margin of trade between rich and poor countries. (English) Zbl 1405.91386 Rev. Econ. Stud. 85, No. 1, 475-510 (2018). MSC: 91B60 91B24 PDF BibTeX XML Cite \textit{R. Foellmi} et al., Rev. Econ. Stud. 85, No. 1, 475--510 (2018; Zbl 1405.91386) Full Text: DOI
Mostovyi, Oleksii Optimal consumption of multiple goods in incomplete markets. (English) Zbl 1417.91472 J. Appl. Probab. 55, No. 3, 810-822 (2018). MSC: 91G10 93E20 60G48 49N15 PDF BibTeX XML Cite \textit{O. Mostovyi}, J. Appl. Probab. 55, No. 3, 810--822 (2018; Zbl 1417.91472) Full Text: DOI
Hull, John; White, Alan Interest rate trees: extensions and applications. (English) Zbl 1400.91631 Quant. Finance 18, No. 7, 1199-1209 (2018). MSC: 91G30 PDF BibTeX XML Cite \textit{J. Hull} and \textit{A. White}, Quant. Finance 18, No. 7, 1199--1209 (2018; Zbl 1400.91631) Full Text: DOI
Elliott, Robert J.; Bradrania, Reza Estimating a regime switching pairs trading model. (English) Zbl 1400.91539 Quant. Finance 18, No. 5, 877-883 (2018). MSC: 91G10 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{R. Bradrania}, Quant. Finance 18, No. 5, 877--883 (2018; Zbl 1400.91539) Full Text: DOI
Blanchard, Romain; Carassus, Laurence; Rásonyi, Miklós No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach. (English) Zbl 1417.91440 Math. Methods Oper. Res. 88, No. 2, 241-281 (2018). MSC: 91G10 93E20 91B16 PDF BibTeX XML Cite \textit{R. Blanchard} et al., Math. Methods Oper. Res. 88, No. 2, 241--281 (2018; Zbl 1417.91440) Full Text: DOI
Herdegen, Martin; Schweizer, Martin Semi-efficient valuations and put-call parity. (English) Zbl 1417.91503 Math. Finance 28, No. 4, 1061-1106 (2018). MSC: 91G20 60G48 60G40 PDF BibTeX XML Cite \textit{M. Herdegen} and \textit{M. Schweizer}, Math. Finance 28, No. 4, 1061--1106 (2018; Zbl 1417.91503) Full Text: DOI
Wei, Pengyu Risk management with weighted VaR. (English) Zbl 1417.91484 Math. Finance 28, No. 4, 1020-1060 (2018). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{P. Wei}, Math. Finance 28, No. 4, 1020--1060 (2018; Zbl 1417.91484) Full Text: DOI
Fontana, Claudio; Schmidt, Thorsten General dynamic term structures under default risk. (English) Zbl 1410.91471 Stochastic Processes Appl. 128, No. 10, 3353-3386 (2018). MSC: 91G40 91G20 91G30 60H30 PDF BibTeX XML Cite \textit{C. Fontana} and \textit{T. Schmidt}, Stochastic Processes Appl. 128, No. 10, 3353--3386 (2018; Zbl 1410.91471) Full Text: DOI arXiv