Presentation: Asymptotic arbitrage and large deviations
Workshop: Advanced Modeling in Finance and Insurance
Time: Fri, September 26, 2008, 10:50-11:40
Speaker: Hans Foellmer
Abstract
Standard models of mathematical finance admit equivalent martingale measures up to any finite time horizon
but not globally, and this means that arbitrage opportunities arise in the long run. We describe joint work with
W. Schachermayer on explicit estimates for asymptotic arbitrage and discuss the connection with large deviation estimates for the
market price of risk.
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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