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Stochastics, 2013, Volume 85, Issue 4, Pages 652–666 (Mi stpr2)  

Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk

I. V. Evstigneeva, M. V. Zhitlukhinab

a The University of Manchester, Manchester, United Kingdom
b Steklov Mathematical Institute, Moscow, Russian Federation

Abstract: We develop a model of asset pricing and hedging for interconnected financial markets with frictions – transaction costs and portfolio constraints. The model is based on a control theory for random fields on a directed graph. Market dynamics are described by using von Neumann–Gale dynamical systems first considered in connection with the modelling of economic growth [13,24]. The main results are hedging criteria stated in terms of risk-acceptable portfolios and consistent price systems, extending the classical superreplication criteria formulated in terms of equivalent martingale measures.

DOI: https://doi.org/10.1080/17442508.2013.795565


Bibliographic databases:

Document Type: Article
MSC: 91B28, 91B26, 91B25, 60G60
Received: 24.02.2013
Language: English

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