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q-fin.MF2020★ 1 cited
Arbitrage concepts under trading restrictions in discrete-time financial markets
Claudio Fontana, Wolfgang J. Runggaldier
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to…
q-fin.MF2015
On the Existence of Martingale Measures in Jump Diffusion Market Models
Jacopo Mancin, Wolfgang J. Runggaldier
In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbitrage condition of NA1 (NUPBR), but not NFLVR. We show that in these examples th…