Seminar series
Date
Fri, 18 May 2012
Time
14:15 -
15:00
Location
DH 1st floor SR
Speaker
Prof Martin Schweizer
Organisation
ETH Zurich
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).