Jeremy Staum

Northwestern University - Department of Industrial Engineering and Management Sciences

Assistant Professor

2145 N. Sheridan Road

Evanston, IL 60208-3119

United States

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Fundamental Theorems of Asset Pricing for Good Deal Bounds

Mathematical Finance, Vol. 14, No. 2, pp. 141-161, April 2004
Number of pages: 21 Posted: 06 May 2004
Jeremy Staum
Northwestern University - Department of Industrial Engineering and Management Sciences
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Abstract:

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Asset pricing, coherent risk measure, convex risk measure, equivalent martingale measure, fundamental theorem, good deal bounds, imprecise probabilities, incomplete markets