The Experts below are selected from a list of 63 Experts worldwide ranked by ideXlab platform
María José Muñoz-bouzo - One of the best experts on this subject based on the ideXlab platform.
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Projective System approach to the martingale characterization of the absence of arbitrage
Journal of Mathematical Economics, 2002Co-Authors: Alejandro Balbás, Miguel Mirás, María José Muñoz-bouzoAbstract:Abstract The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a Projective System of perfect measure spaces, we characterize the absence of arbitrage when the time set is countable.
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Projective System approach to the martingale characterization of the absence of arbitrage
2001Co-Authors: Alejandro Balbás De La Corte, Miguel Ángel Mirás Calvo, María José Muñoz-bouzoAbstract:The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a Projective System of topological spaces and Radon measures, we characterize the absence of arbitrage when the time set is countable.
Alejandro Balbás - One of the best experts on this subject based on the ideXlab platform.
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Infinitely Many Securities and the Fundamental Theorem of Asset Pricing
Mediterranean Journal of Mathematics, 2007Co-Authors: Alejandro Balbás, Anna DownarowiczAbstract:Several authors have pointed out the possible absence of martingale measures for static arbitrage free markets with an infinite number of available securities. Accordingly, the literature constructs martingale measures by generalizing the concept of arbitrage (free lunch, free lunch with bounded risk, etc.) or introducing the theory of large financial markets. This paper does not modify the definition of arbitrage and addresses the caveat by drawing on Projective Systems of probability measures. Thus we analyze those situations for which one can provide a Projective System of σ –additive measures whose Projective limit may be interpreted as a risk-neutral probability of an arbitrage free market. Hence the Fundamental Theorem of Asset Pricing is extended so that it can apply for models with infinitely many assets.
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Projective System approach to the martingale characterization of the absence of arbitrage
Journal of Mathematical Economics, 2002Co-Authors: Alejandro Balbás, Miguel Mirás, María José Muñoz-bouzoAbstract:Abstract The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a Projective System of perfect measure spaces, we characterize the absence of arbitrage when the time set is countable.
Baptiste Morin - One of the best experts on this subject based on the ideXlab platform.
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The Weil-étale fundamental group of a number field II
Selecta Mathematica, 2011Co-Authors: Baptiste MorinAbstract:We define the fundamental group underlying the Weil-étale cohomology of number rings. To this aim, we define the Weil-étale topos as a refinement of the Weil-étale sites introduced by Lichtenbaum (Ann Math 170(2):657–683, 2009 ). We show that the (small) Weil-étale topos of a smooth Projective curve defined in this paper is equivalent to the natural definition. Then we compute the Weil-étale fundamental group of an open subscheme of the spectrum of a number ring. Our fundamental group is a Projective System of locally compact topological groups, which represents first degree cohomology with coefficients in locally compact abelian groups. We apply this result to compute the Weil-étale cohomology in low degrees and to prove that the Weil-étale topos of a number ring satisfies the expected properties of the conjectural Lichtenbaum topos.
E. Cosme Llópez - One of the best experts on this subject based on the ideXlab platform.
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When are profinite many-sorted algebras retracts of ultraproducts of finite many-sorted algebras?
Logic Journal of the IGPL, 2018Co-Authors: J. Climent Vidal, E. Cosme LlópezAbstract:For a set of sorts $S$ and an $S$-sorted signature $\Sigma$ we prove that a profinite $\Sigma$-algebra, i.e., a Projective limit of a Projective System of finite $\Sigma$-algebras, is a retract of an ultraproduct of finite $\Sigma$-algebras if the family consisting of the finite $\Sigma$-algebras underlying the Projective System is with constant support. In addition, we provide a categorial rendering of the above result. Specifically, after obtaining a category where the objects are the pairs formed by a nonempty upward directed preordered set and by an ultrafilter containing the filter of the final sections of it, we show that there exists a functor from the just mentioned category whose object mapping assigns to an object a natural transformation which is a retraction.
Alejandro Balbás De La Corte - One of the best experts on this subject based on the ideXlab platform.
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Projective System approach to the martingale characterization of the absence of arbitrage
2001Co-Authors: Alejandro Balbás De La Corte, Miguel Ángel Mirás Calvo, María José Muñoz-bouzoAbstract:The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a Projective System of topological spaces and Radon measures, we characterize the absence of arbitrage when the time set is countable.
