Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty

Add to your list(s) Download to your calendar using vCal

• Bayraktar, E (University of Michigan)
• Wednesday 20 November 2013, 11:00-11:50
• Seminar Room 2, Newton Institute Gatehouse.

If you have a question about this talk, please contact Mustapha Amrani.

Institute distinguished event

We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market consisting of a money market account and a single stock whose trading is subject to proportional transaction cost and whose price dynamic is modeled by a family of probability measures, possibly non-dominated. Under a continuity assumption, we prove using a backward-forward scheme that the absence of arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of consistent price systems. A parallel statement between robust no-arbitrage and strictly consistent price systems is also obtained.

This talk is part of the Isaac Newton Institute Seminar Series series.

This talk is included in these lists:

• All CMS events
• Featured lists
• INI info aggregator
• Isaac Newton Institute Seminar Series
• School of Physical Sciences
• Seminar Room 2, Newton Institute Gatehouse
• bld31

Note that ex-directory lists are not shown.