Absence of arbitrage revisited
Event details
| Date | 12.02.2020 |
| Hour | 16:15 › 17:30 |
| Speaker | Prof. Martin Schweizer, ETH-Zürich. |
| Location | |
| Category | Conferences - Seminars |
Abstract
Absence of arbitrage is a very fundamental concept in mathematical finance. However, almost all definitions and results on that topic depend in a crucial way on how asset prices are modeled. More precisely, there is a strong, and counter-intuitive, dependence on how prices are denominated. The present talk therefore re-examines this classical question and proposes some first steps towards a resolution.
This is based on joint work with Daniel Balint.
Practical information
- General public
- Free
Organizer
- Prof. Robert Dalang, Chair of Probabilities
Contact
- Rosana Blanchard, EPFL SB MATH PROB