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Teor. Veroyatnost. i Primenen., 2015, Volume 60, Issue 4, Pages 660–685 (Mi tvp5030)  

This article is cited in 9 scientific papers (total in 9 papers)

FTAP for large financial markets. A new perspective on the fundamental theorem of asset pricing for large financial markets

Ch. Cuchiero, I. Klein, J. Teichmann

Vienna University of Technology

DOI: https://doi.org/10.4213/tvp5030

Full text: PDF file (337 kB)
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English version:
Theory of Probability and its Applications, 2016, 60:4, 561–579

Bibliographic databases:

Received: 20.03.2015

Citation: Ch. Cuchiero, I. Klein, J. Teichmann, “FTAP for large financial markets. A new perspective on the fundamental theorem of asset pricing for large financial markets”, Teor. Veroyatnost. i Primenen., 60:4 (2015), 660–685; Theory Probab. Appl., 60:4 (2016), 561–579

Citation in format AMSBIB
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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. M. Rasonyi, “On optimal strategies for utility maximizers in the arbitrage pricing model”, Int. J. Theor. Appl. Financ., 19:7 (2016), UNSP 1650047  crossref  mathscinet  isi
    2. Yu. Kabanov, C. Kardaras, Sh. Song, “No arbitrage of the first kind and local martingale numeraires”, Financ. Stoch., 20:4 (2016), 1097–1108  crossref  mathscinet  zmath  isi
    3. I. Klein, T. Schmidt, J. Teichmann, “No arbitrage theory for bond markets”, Advanced Modelling in Mathematical Finance: in Honour of Ernst Eberlein, Springer Proceedings in Mathematics & Statistics, eds. Kallsen J., Papapantoleon A., Springer International Publishing Ag, 2016, 381–421  crossref  mathscinet  zmath  isi
    4. M. Rasonyi, “Maximizing expected utility in the arbitrage pricing model”, J. Math. Anal. Appl., 454:1 (2017), 127–143  crossref  mathscinet  zmath  isi
    5. F. E. Benth, P. Kruhner, “Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models”, Financ. Stoch., 22:2 (2018), 327–366  crossref  mathscinet  zmath  isi
    6. C. Fontana, T. Schmidt, “General dynamic term structures under default risk”, Stoch. Process. Their Appl., 128:10 (2018), 3353–3386  crossref  mathscinet  zmath  isi  scopus
    7. M. Rasonyi, “On utility maximization without passing by the dual problem”, Stochastics, 90:7 (2018), 955–971  crossref  mathscinet  isi  scopus
    8. Cuchiero Ch., Fontana C., Gnoatto A., “Affine Multiple Yield Curve Models”, Math. Financ., 29:2 (2019), 568–611  crossref  mathscinet  zmath  isi  scopus
    9. Palmowski Z., Stettner L., Sulima A., “Optimal Portfolio Selection in An Ito-Markov Additive Market”, Risks, 7:1 (2019), 34  crossref  isi  scopus
  • Теория вероятностей и ее применения Theory of Probability and its Applications
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