67 citations · 247 across the 21 of their papers we have counts for
5 papers · 1 filter
No-arbitrage conditions and absolutely continuous changes of measure
Claudio Fontana
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based…
A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
Claudio Fontana
We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper "Arbitrage and approximate arbitrage: the fundamental theorem of asset pr…
Information, no-arbitrage and completeness for asset price models with a change point
Claudio Fontana, Zorana Grbac, Monique Jeanblanc +1
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time . Und…
Weak and strong no-arbitrage conditions for continuous financial markets
Claudio Fontana
We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrag…
Market viability and martingale measures under partial information
Claudio Fontana, Bernt Øksendal, Agnès Sulem
We consider a financial market model with a single risky asset whose price process evolves according to a general jump-diffusion with locally bounded coefficients and where market…