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Coherent price systems and uncertainty-neutral valuation
Introduction
Viability and Sublinear Price Systems
The Uncertainty Model and the Space of Claims
Scenario-Based Viable Price Systems
Preferences and the Economy
Asset Markets and Symmetric Martingales
Volatility Uncertainty, Dynamics and Arbitrage
Dynamics and Martingales under Sublinear Expectation
The Primitives of the Financial Market and Arbitrage
Equivalent Symmetric Martingale Measure Sets
A Special Case: G-Expectation
Security prices as G-Itô processes and sublinear valuation
Discussion and Conclusion
Details and Proofs
Section 2
Section 3
Required results
The sub order dual
Semi lattices and their intrinsic structure
Stochastic analysis with G-Brownian motion
Arbeitspapier
Coherent price systems and uncertainty-neutral valuation
Entstehung
2013
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