Paris 7

Given a collection F of holomorphic functions, we consider how to describe all the holomorphic functions locally definable from F. The notion of local definability of holomorphic functions was introduced by Wilkie, who gave a complete description of all functions locally definable from F in the neighbourhood of a generic point. We prove that this description is not complete anymore in the neighbourhood of non-generic points. More precisely, we produce three examples of holomorphic functions which each suggest that at least three new definable operations need to be added to Wilkie's description in order to capture local definability in its entirety. The construction illustrates the interaction between resolution of singularities and definability in the o-minimal setting. Joint work with O. Le Gal, G. Jones, J. Kirby.

We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate a constant c>1. The optimal arbitrage strategy is the strategy for which this constant has the highest possible value. Our definition of optimal arbitrage is similar to the one in Fenrholz and Karatzas (2010), where optimal relative arbitrage with respect to the market portfolio is studied. In this work we present a systematic method to construct market models where the optimal arbitrage strategy exists and is known explicitly. We then develop several new examples of market models with arbitrage, which are based on economic agents' views concerning the impossibility of certain events rather than ad hoc constructions. We also explore the concept of fragility of arbitrage introduced in Guasoni and Rasonyi (2012), and provide new examples of arbitrage models which are not fragile in this sense.

References:

Fernholz, D. and Karatzas, I. (2010). On optimal arbitrage. The Annals of Applied Probability, 20(4):1179–1204.

Guasoni, P. and Rasonyi, M. (2012). Fragility of arbitrage and bubbles in diffusion models. preprint.

A $C${\em -relation} is the ternary relation induced by an ultrametric distance, in particular a valuation on a field, when we only remember the relation:

$C(x;y,z)$

iff $d(x,y)