A guide through market viability for frictionless markets
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Fri, 04/05/2012 14:00 |
Prof Kostas Kardars (Boston University) |
Nomura Seminar  |
DH 1st floor SR |
| In this talk, we elaborate on the notions of no-free-lunch that have proved essential in the theory of financial mathematics—most notably, arbitrage of the first kind. Focus will be given in most recent developments. The precise connections with existence of deflators, numeraires and pricing measures are explained, as well as the consequences that these notions have in the existence of bubbles and the valuation of illiquid assets in the market. | |||