Coventry CV4 7AL
United Kingdom
University of Warwick - Department of Statistics
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Bubbles; Strict local martingales; JLS model; Optimal investent; Utility maximisation; Power utility
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bubbles, JLS model, optimal investment, power utility, strict local martingales, utility maximization
Single jump; Strict local martingales; Stochastic integrals; Local martingale deflators; No arbitrage; No unbounded profit with bounded risk
financial bubble, incomplete financial market, fundamental value, superreplication, strict local martingale, numéraire, viability, efficiency, no dominance efficiency, no dominance
Nonlinear Price Impact, Portfolio Choice, Asymptotics
equilibrium, transaction costs, liquidity premium
option valuation, put-call parity, absence of arbitrage, NUPBR, NFLVR, risk-neutral valuation, consistent valuation, maximal strategies, viability, efficiency, semi- efficient markets, completeness, incomplete markets
absence of arbitrage, completeness, consistent valuation, efficiency, incomplete markets, maximal strategies, NFLVR, NUPBR, option valuation, put‐call parity, risk‐neutral valuation, semi‐efficient markets, viability
optimal consumption, random endowment, asymptotic analysis
Trading costs, Radner equilibrium, asymptotics, stability, transaction tax
portfolio selection, Expected Shortfall, efficient frontier, regulatory arbitrage, fundamental theorem of asset pricing
Asset Pricing, Radner Equilibrium, Transaction Costs, Forward-Backward SDEs
Mathematical Finance, Merton Problem, Stochastic Control, Expected Utility Maximization, Numeraire Change
portfolio selection, coherent risk measures, dual characterisation, regulatory arbitrage, fundamental theorem of asset pricing
numéraire‐independent modeling, no‐arbitrage, maximal strategies, fundamental theorem of asset pricing, nonnegative wealth
