Robust Arbitrage and Model Uncertainty

Event Date: 

Wednesday, March 12, 2014 - 3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 PM

Event Location: 

  • South Hall 5607F

Dr. Marco Maggis (University of Milan)

Title: Robust Arbitrage and Model Uncertainty

Abstract: In discrete time markets under model ambiguity, we introduce the notion of Open Arbitrage and provide a dual robust characterization in terms of weakly open sets of probability measures. We then show that the absence of Open Arbitrages guarantees the existence of full support martingale measures.