caa a22 4500 445363118 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110101xx s 000 0 eng 10.1007/s00780-009-0118-8 doi (NATIONALLICENCE)springer-10.1007/s00780-009-0118-8 Pennanen Teemu Department of Mathematics and Systems Analysis, Helsinki University of Technology, P.O. Box 1100, 02015, TKK, Finland aut Arbitrage and deflators in illiquid markets [Elektronische Daten] [Teemu Pennanen] This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash account/numeraire. In addition to classical frictionless markets and markets with transaction costs or bid-ask spreads, our framework covers markets with nonlinear illiquidity effects for large instantaneous trades. In the presence of nonlinearities, the classical notion of arbitrage turns out to have two equally meaningful generalizations, a marginal and a scalable one. We study their relations to state price deflators by analyzing two auxiliary market models describing the local and global behavior of the cost functions and constraints. Springer-Verlag, 2009 Illiquidity nationallicence Portfolio constraints nationallicence Claim processes nationallicence Arbitrage nationallicence Deflators nationallicence Finance and Stochastics Springer-Verlag 15/1(2011-01-01), 57-83 0949-2984 15:1<57 2011 15 780 https://doi.org/10.1007/s00780-009-0118-8 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-009-0118-8 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Pennanen Teemu Department of Mathematics and Systems Analysis, Helsinki University of Technology, P.O. Box 1100, 02015, TKK, Finland aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/1(2011-01-01), 57-83 0949-2984 15:1<57 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer