no code implementations • 14 Apr 2022 • Christa Cuchiero, Guido Gazzani, Irene Klein
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property.
no code implementations • 23 Dec 2014 • Christa Cuchiero, Irene Klein, Josef Teichmann
In the context of large financial markets we formulate the notion of \emph{no asymptotic free lunch with vanishing risk} (NAFLVR), under which we can prove a version of the fundamental theorem of asset pricing (FTAP) in markets with an (even uncountably) infinite number of assets, as it is for instance the case in bond markets.
