8 citations · 25 across the 17 of their papers we have counts for
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q-fin.PM2019
From small markets to big markets
Laurence Carassus, Miklos Rasonyi
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a…
econ.GN2019★ 8 cited
Risk-neutral pricing for APT
Laurence Carassus, Miklos Rasonyi
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provi…
q-fin.MF2019
No-arbitrage with multiple-priors in discrete time
Romain Blanchard, Laurence Carassus
In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This character…