1-4 September 2015
Angers - France
Europe/Paris timezone

Universal Arbitrage Aggregator in Discrete Time under Uncertainty,

1 Sep 2015, 09:00
40m
Angers - France

Angers - France

Speaker

Prof. Marco Frittelli (Università degli Studi di Milano)

Description

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 class S of significant sets, which we call Arbitrage de la classe S. The choice of S reflects into the intrinsic properties of the class of polar sets of martingale measures. In particular: for S = {Ω}, absence of Model Independent Arbitrage is equivalent to the existence of a martingale measure; for S being the open sets, absence of Open Arbitrage is equivalent to the existence of full support martingale measures. These results are obtained by adopting a technical filtration enlargement and by constructing a universal aggregator of all arbitrage opportunities. We further introduce the notion of market feasibility and provide its characterization via arbitrage conditions. We conclude providing a dual representation of Open Arbitrage in terms of weakly open sets of probability measures, which highlights the robust nature of this concept.

Primary author

Prof. Marco Frittelli (Università degli Studi di Milano)

Co-authors

Marco Burzoni (Università degli Studi di Milano) Marco Maggis (Università degli Studi di Milano)

Presentation Materials