PRICE Systems was founded in 1975 as a business within the RCA Corporation. It is generally acknowledged as the earliest developer of parametric cost… (More)

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2016

2016

- Bruno Bouchard, Marcel Nutz
- Finance and Stochastics
- 2016

We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs… (More)

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2013

2013

- Jocelyne Bion-Nadal, Giulia Di Nunno
- Finance and Stochastics
- 2013

In an L∞-framework, we present majorant-preserving and sandwich-preserving extension theorems for linear operators. These results… (More)

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2012

2012

- Patrick Beissner, Chiaki Hara, +7 authors Walter Trockel
- 2012

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility uncertainty… (More)

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2012

2012

- Julien Grépat, Yuri Kabanov
- Finance and Stochastics
- 2012

The aim of this note is to establish criterion of absence of arbitrage opportunities under small transaction costs for a family… (More)

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2009

2009

- Qian Lv, George N. Rouskas
- 2009 IEEE International Conference on…
- 2009

We consider networks offering tiered services and corresponding price structures, a model that has become prevalent in practice… (More)

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2008

2008

In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We… (More)

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2007

2007

A version of the fundamental theorem of asset pricing is proved for continuous asset prices with small proportional transaction… (More)

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2007

2007

- Eni Enrico Mattei, Arjan Ruijs, Hans Peter Weikard, Roel Jongeneel
- 2007

In this paper, distribution and welfare effects of changes in block price systems are evaluated. A method is discussed to… (More)

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2006

2006

Asymmetric or partial information in financial markets may be represented by different filtrations. We consider the case of a… (More)

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Highly Cited

1993

Highly Cited

1993

Market price systems constitute a well-understood class of mechanisms that under certain conditions provide eeective… (More)

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