Innovative Research in Mathematical Finance / Recherche innovante en mathématiques financières

Collection Innovative Research in Mathematical Finance / Recherche innovante en mathématiques financières

Organizer(s) Callegaro, Giorgia ; Jeanblanc, Monique ; Lépinette, Emmanuel ; Molchanov, Ilya ; Schweizer, Martin ; Touzi, Nizar

Date(s) 03/09/2018 - 07/09/2018

linked URL https://conferences.cirm-math.fr/1816.html

00:00:00 / 00:00:00

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Discounting invariant FTAP for large financial markets

By Daniel Balint

For large financial markets as introduced in Kramkov and Kabanov 94, there are several existing absence-of-arbitrage conditions in the literature. They all have in common that they depend in a crucial way on the discounting factor. We introduce a new concept, generalizing NAA1 (K&K 94) and NAA (Rokhlin 08), which is invariant with respect to discounting. We derive a dual characterization by a contiguity property (FTAP).We investigate connections to the in finite time horizon framework (as for example in Karatzas and Kardaras 07) and illustrate negative result by counterexamples. Based on joint work with M. Schweizer.

Information about the video

Date of recording 04/09/2018
Date of publication 18/09/2018
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19444803
Cite this video Balint, Daniel (04/09/2018). Discounting invariant FTAP for large financial markets. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19444803
URL https://dx.doi.org/10.24350/CIRM.V.19444803

Domain(s)

Bibliography

Bálint, Dániel Ágoston and Schweizer, Martin, Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR (March 16, 2018). Swiss Finance Institute Research Paper No. 18-23 - http://dx.doi.org/10.2139/ssrn.3141770

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