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A short introduction to arbitrage theory and pricing in mathematical finance for discrete-time markets with or without friction.

Abstract : In these notes, we first introduce the theory of arbitrage and pricing for frictionless models, i.e. the classical theory of mathematical finance. The main classical results are presented, i.e. the characterization of absence of arbitrage opportunities, based on convex duality, and dual characterizations of super-hedging prices are deduced. We then present financial market models with proportional transaction costs. We discuss no arbitrage conditions and characterize super-hedging prices as in the frictionless case. Another approach based on the liquidation value concept is finally introduced.
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https://hal.archives-ouvertes.fr/cel-02125685
Contributor : Emmanuel Lépinette Connect in order to contact the contributor
Submitted on : Wednesday, July 3, 2019 - 11:04:40 AM
Last modification on : Tuesday, January 18, 2022 - 3:23:31 PM

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  • HAL Id : cel-02125685, version 2

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Emmanuel Lépinette. A short introduction to arbitrage theory and pricing in mathematical finance for discrete-time markets with or without friction.. Master. France. 2019. ⟨cel-02125685v2⟩

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