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金融工程研究中心学术报告:Absence of arbitrage revisited

报告人:Martin Schweizer, ETH Zurich

  间:2019.09.10(周二) 16:00-17:00

  点:金融工程研究中心105学术报告厅

  要:We propose a new approach to defining and characterising absence of arbitrage in a way which does not depend on an a priori chosen numeraire. In other words, we look for a setup where the choice of accounting units does not change the notion of absence of arbitrage. In spirit, this is similar to Kabanov's approach to modelling markets with transaction costs. The key idea is that the comparison basis for a profit is no longer wealth, which is numeraire-dependent, but a chosen reference portfolio, which is in units of assets and hence numeraire-independent. We provide dual characterisations in terms of discounting and martingale properties, and we also discuss to which extent the approach and results depend on the reference portfolio. This is based on joint work with Daniel Balint. 

报告人简介:

 


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