All Outputs (5)

Absence of arbitrage in a general framework (2012)
Journal Article
Sayit, H. (2012). Absence of arbitrage in a general framework. Annals of Finance, 9(4), 611-624. https://doi.org/10.1007/s10436-012-0207-0

Consistent Price Systems in Multiasset Markets (2012)
Journal Article
Maris, F., & Sayit, H. (2012). Consistent Price Systems in Multiasset Markets. International journal of stochastic analysis, 2012, Article 687376. https://doi.org/10.1155/2012/687376

Let Xt be any d-dimensional continuous process that takes values in an open connected domain O in Rd. In this paper, we give equivalent formulations of the conditional full support CFS property of Xt in O.We use them to show that the CFS property of... Read More about Consistent Price Systems in Multiasset Markets.

Consistent price systems for bounded processes (2011)
Journal Article
Maris, F., Mbakop, E., & Sayit, H. (2011). Consistent price systems for bounded processes. Communications on stochastic analysis, 5(4), 633-645

Arbitrage-free models in markets with transaction costs (2011)
Journal Article
Sayit, H., & Viens, F. (2011). Arbitrage-free models in markets with transaction costs. Electronic Communications in Probability, 16, 614-622. https://doi.org/10.1214/ecp.v16-1671

No arbitrage conditions for simple trading strategies (2010)
Journal Article
Bayraktar, E., & Sayit, H. (2010). No arbitrage conditions for simple trading strategies. Annals of Finance, 6(1), 147-156. https://doi.org/10.1007/s10436-009-0120-3