Miklos Rasonyi

University of Edinburgh - School of Mathematics

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

817

SSRN CITATIONS

7

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Fragility of Local Martingale Diffusion Models of Arbitrage and Bubbles

Boston U. School of Management Research Paper No. 2011-12
Number of pages: 17 Posted: 01 Jun 2011 Last Revised: 03 Feb 2014
Paolo Guasoni and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences and University of Edinburgh - School of Mathematics
Downloads 300 (123,636)
Citation 5

Abstract:

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Arbitrage, Bubbles, Transaction Costs, Local Martingales

2.

The Fundamental Theorem of Asset Pricing Under Transaction Costs

Boston U. School of Management Research Paper No. 2011-7
Number of pages: 35 Posted: 23 Mar 2011 Last Revised: 15 Apr 2012
Paolo Guasoni, Emmanuel Lepinette and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences, Université Paris-Dauphine - CEREMADE, CNRS and University of Edinburgh - School of Mathematics
Downloads 287 (129,509)
Citation 2

Abstract:

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Arbitrage, Fundamental Theorem of Asset Pricing, Transaction Costs, Admissible Strategies, Finite Variation

3.

Hedging, Arbitrage, and Optimality with Superlinear Frictions

Boston U. School of Management Research Paper No. 2013-8
Number of pages: 23 Posted: 28 Aug 2013 Last Revised: 09 Oct 2013
Paolo Guasoni and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences and University of Edinburgh - School of Mathematics
Downloads 230 (161,645)
Citation 6

Abstract:

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hedging, arbitrage, price-impact, frictions, utility maximization