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.
May 7, 2015 - 1:49pm