Workshop: Advanced Modeling in Finance and Insurance
Time: Tue, September 23, 2008, 10:50-11:40
Speaker: Miklos Rasonyi
Abstract
We present a survey of market models with proportional transaction costs in continuous time. Various concepts of arbitrage and their relationship to price systems is discussed.
Recent research has shown that in the presence of transaction costs one gets a considerably larger class of admissible market models (including e.g. fractional Brownian motion-based models) and that absence of arbitrage depends on ”coarser” properties of the price process than in the frictionless case.
We shall discuss these issues in comparison with what happens in illiquid markets or in frictionless markets under restrictions on the set of trading strategies.
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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