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2016
101views FPGA» more  FS 2016»
4 years 3 months ago
Consistent price systems under model uncertainty
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitra...
Bruno Bouchard, Marcel Nutz
FS
2016
59views FPGA» more  FS 2016»
4 years 3 months ago
Weakly time consistent concave valuations and their dual representations
We derive dual characterizations of two notions of weak time consistency for concave valuations, which are convex risk measures under a positive sign convention. Combined with a s...
Berend Roorda, Johannes Schumacher
FS
2016
65views FPGA» more  FS 2016»
4 years 3 months ago
Universal arbitrage aggregator in discrete-time markets under uncertainty
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a...
Matteo Burzoni, Marco Frittelli, Marco Maggis
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