Absence of arbitrage and changes of measure
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Fri, 18/05/2012 14:15 |
Prof Martin Schweizer (ETH Zurich) |
Nomura Seminar  |
DH 1st floor SR |
| Absence of arbitrage is a highly desirable feature in mathematical models of financial markets. In its pure form (whether as NFLVR or as the existence of a variant of an equivalent martingale measure R), it is qualitative and therefore robust towards equivalent changes of the underlying reference probability (the "real-world" measure P). But what happens if we look at more quantitative versions of absence of arbitrage, where we impose for instance some integrability on the density dR/dP? To which extent is such a property robust towards changes of P? We discuss these uestions and present some recent results. The talk is based on joint work with Tahir Choulli (University of Alberta, Edmonton). | |||