Publications and Preprints

F.Cordero, I.Klein, L.Perez-Ostafe (2015): Asymptotic arbitrage in fractional mixed markets. Submitted. [arXiv]

C.Cuchiero, I.Klein, J.Teichmann (2015): A new perspective on the fundamental theorem of asset pricing for large financial markets. Theory of Probability and Its Applications 60/4, 561-579, 2016. [arXiv]

F.Cordero, I.Klein, L.Perez-Ostafe (2016): Asymptotic proportion of arbitrage points in fractional binary markets. Stochastic Processes and their Applications 126/2, 315-336 [arXiv]

I.Klein, T.Schmidt, J.Teichmann (2016): When roll-overs do not qualify as numeraire: bond markets beyond short rate paradigms.
in "Advanced Modeling in Mathematical Finance, In honor of Ernst Eberlein", editors: Jan Kallsen and Antonis Papapantoleon, Springer [arXiv]

F.Cordero, I.Klein, L.Perez-Ostafe (2014): Binary markets under transaction costs. International Journal of Theoretical & Applied Finance 17/5. [arXiv]

I.Klein, E.Lepinette, L.Perez-Ostafe (2014): Asymptotic arbitrage with small transaction costs.
Finance&Stochastics 18/4, 917-939.

I.Klein (2008): No asymptotic free lunch reviewed in the light of Orlicz spaces. [PDF]
Seminaire de Probabilite XLI, Vol. 1934, p.443-454

I.Klein (2006): Market free lunch and large financial markets. [PDF]
The Annals of Applied of Probability 16/4, p.2055-2077

I.Klein (2006): A comment on market free lunch and free lunch.
Mathematical Finance 16, 583-588

I.Klein, L.C.G.Rogers (2007): Duality in optimal investment and consumption problems with market frictions.
Mathematical Finance 17, p. 225-247

I.Klein (2005): Some Details of Example 2 in Klein & Rogers. [PDF]
Technical Report of the ISDS

I.Klein (2003): Free lunch for large financial markets with continuous price processes.
The Annals of Applied Probability 13/4, p.1494-1503

F.Hubalek, I.Klein, J.Teichmann (2002): A general proof of the Dybvig-Ingersoll-Ross-Theorem: long forward rates can never fall.
Mathematical Finance 12, p. 447-451

I.Klein (2000): A fundamental theorem of asset pricing for large financial markets.
Mathematical Finance 10, p. 443-458

I.Klein, W.Schachermayer (1996): A quantitative and a dual version of the Halmos--Savage Theorem with applications to mathematical finance.
Annals of Probability 24, p. 867-881

I.Klein, W.Schachermayer(1996): Asymptotic arbitrage in non-complete large financial markets.
Theory of Probability and Its Applications 41, p. 927-934