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We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at th...
The goal of this paper is to prove a result conjectured in F¨ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that Sis a continuous semimartingale and satisfies a large dev...
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices ...
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depe...

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