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We provide a general framework for no-arbitrage concepts in topological vector lattices, which covers many of the well-known no-arbitrage concepts as particular cases. The main structural condition we impose is that the outcomes of trading strategies with initial wealth zero and those with positive initial wealth have the structure of a convex cone. As one consequence of our approach, the concepts NUPBR, NAA$_1$ and NA$_1$ may fail to be equivalent in our general setting. Furthermore, we derive abstra
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under proportional transaction costs in the same spirit of
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of $mathcal{P}$-quasisure bounded random variables, where $mathcal{P}$ is a (possibly non-dominated) class of probability measures. Applications of our results lie within robu
The no-arbitrage property is widely accepted to be a centerpiece of modern financial mathematics and could be considered to be a financial law applicable to a large class of (idealized) markets. The paper addresses the following basic question: can o
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting underlying f
Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to finite state