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
financial bubble, incomplete financial market, fundamental value, superreplication, strict local martingale, numéraire, viability, efficiency, no dominance efficiency, no dominance
Single jump; Strict local martingales; Stochastic integrals; Local martingale deflators; No arbitrage; No unbounded profit with bounded risk
equilibrium, transaction costs, liquidity premium
Nonlinear Price Impact, Portfolio Choice, Asymptotics
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
Asset Pricing, Radner Equilibrium, Transaction Costs, Forward-Backward SDEs
portfolio selection, Expected Shortfall, efficient frontier, regulatory arbitrage, fundamental theorem of asset pricing
