A Convergence Result for the Emery Topology and a Variant of the Proof of the Fundamental Theorem of Asset Pricing
Event details
| Date | 15.07.2014 |
| Hour | 12:00 › 13:00 |
| Speaker | Christa CUCHIERO (Financial and Actuarial Mathematics at the Vienna University of Technology) |
| Location | |
| Category | Conferences - Seminars |
We show that No unbounded prot with bounded risk (NUPBR) implies predictable uniform tightness (P-UT), a boundedness property in the Emery topology which has been introduced by C. Stricker [4]. Combining this insight with well known results from J. Memin and L. S lominski [3] leads to a short variant of the proof of the fundamental theorem of asset pricing initially proved by F. Delbaen and W. Schachermayer [1]. The results are formulated in the general setting of admissible portfolio wealth processes as laid down by Y. Kabanov in [2]. We also address the issue of how to extend the result to large nancial markets by formulating the condition of No asymptotic free lunch with vanishing risk (NAFLVR) which turns out to be equivalent to the No asymptotic free lunch (NAFL) condition.
Links
Practical information
- Expert
- Invitation required