{
  "id": "math/0305017",
  "version": "v1",
  "published": "2003-05-01T00:24:53.000Z",
  "updated": "2003-05-01T00:24:53.000Z",
  "title": "A numeraire-free and original probability based framework for financial markets",
  "authors": [
    "Jia-An Yan"
  ],
  "journal": "Proceedings of the ICM, Beijing 2002, vol. 3, 861--874",
  "categories": [
    "math.PR",
    "q-fin.CP"
  ],
  "abstract": "In this paper, we introduce a numeraire-free and original probability based framework for financial markets. We reformulate or characterize fair markets, the optional decomposition theorem, superhedging, attainable claims and complete markets in terms of martingale deflators, present a recent result of Kramkov and Schachermayer (1999, 2001) on portfolio optimization and give a review of utility-based approach to contingent claim pricing in incomplete markets.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2003-05-01T00:24:53.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H30",
      "60G44"
    ],
    "keywords": [
      "original probability",
      "financial markets",
      "numeraire-free",
      "optional decomposition theorem",
      "contingent claim"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2003math......5017Y"
    }
  }
}