英文标题：
《Trajectory Based Models, Arbitrage and Continuity》
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作者：
Alexander Alvarez and Sebastian Ferrando
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最新提交年份：
2015
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英文摘要：
The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the final portfolio value considered as a functional on the trajectory space. The paper shows this to be a natural requirement by proving that a large class of practical trading strategies, defined by means of trajectory based stopping times, give rise to locally continuous functionals. The theory is illustrated, with some detail, for two specific trajectory models of practical interest. The implications for stochastic models which are not semimartingales are described. The present paper extends some of the results in [1] by incorporating in the formalism a larger set of trading portfolios.
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中文摘要：
本文通过对交易组合施加一般约束，得到了基于轨迹模型的无套利结果。为了避免套利机会，所施加的主要条件是对被视为轨迹空间上的函数的最终投资组合价值的局部连续性要求。本文通过证明一大类由基于轨迹的停止时间定义的实际交易策略产生局部连续泛函，证明了这是一个自然要求。对于两个具有实际意义的特定轨道模型，该理论进行了详细说明。描述了非半鞅随机模型的含义。本文通过在形式主义中加入一组更大的交易组合，扩展了[1]中的一些结果。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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