The INI has a new website!

This is a legacy webpage. Please visit the new site to ensure you are seeing up to date information.

Skip to content

INI

Seminar

Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty

Bayraktar, E (University of Michigan)
Wednesday 20 November 2013, 11:00-11:50

Seminar Room 2, Newton Institute Gatehouse

Abstract

We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market consisting of a money market account and a single stock whose trading is subject to proportional transaction cost and whose price dynamic is modeled by a family of probability measures, possibly non-dominated. Under a continuity assumption, we prove using a backward-forward scheme that the absence of arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of consistent price systems. A parallel statement between robust no-arbitrage and strictly consistent price systems is also obtained.

Back to top ∧