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SUMMARY:A Convergence Result for the Emery Topology and a Variant of the P
 roof of the Fundamental Theorem of Asset Pricing
DTSTART:20140715T120000
DTEND:20140715T130000
DTSTAMP:20260429T032136Z
UID:d999b6e41ec99a2f09f65ae970ff060d4a36742bfc7f97272ba132ed
CATEGORIES:Conferences - Seminars
DESCRIPTION:Christa CUCHIERO (Financial and Actuarial Mathematics at the V
 ienna University of Technology)\nWe show that No unbounded prot with bound
 ed risk (NUPBR) implies predictable uniform tightness (P-UT)\, a boundedne
 ss 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 th
 eorem of asset pricing initially proved by F. Delbaen and W. Schachermayer
  [1]. The results are formulated in the general setting of admissible port
 folio 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 formulat
 ing the condition of No asymptotic free lunch with vanishing risk (NAFLVR)
  which turns out to be equivalent to the No asymptotic free lunch (NAFL) c
 ondition.
LOCATION:UNIL\, Extranef\, room 125 https://planete.unil.ch/plan/?local=EX
 T-125
STATUS:CONFIRMED
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