5 citations · 13 across the 8 of their papers we have counts for
Showing 2006Show all
3 papers · 1 filter
math.PR2006★ 2 cited
On decomposing risk in a financial-intermediate market and reserving
Saul Jacka, Abdel Berkaoui
We consider the problem of decomposing monetary risk in the presence of a fully traded market in {\it some} risks. We show that a mark-to-market approach to pricing leads to such a…
math.PR2006★ 5 cited
On the density of properly maximal claims in financial markets with transaction costs
Saul Jacka, Abdelkarem Berkaoui
We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price pro…
math.PR2006★ 2 cited
No-arbitrage and closure results for trading cones with transaction costs
Saul Jacka, Abdelkarem Berkaoui, Jon Warren
The paper considers trading with proportional transaction costs. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed…