Workshop: Concluding Workshop
Time: Tue, December 02, 2008, 14:00-14:30
Speaker: Irina Penner
Abstract
We study no arbitrage criteria and hedging in a discrete-time financial market model with convex transaction costs. Our model extends Kabanov's currency market model by allowing for nonlinear illiquidity effects. We show that an appropriate generalization of Schachermayer's robust no arbitrage condition implies that the set of claims hedgeable with zero cost is closed in probability. This result allows to provide a dual characterization of premium processes that are sufficient to superreplicate a given claim process. We also extend the fundamental theorem of asset pricing for general conical models. This is joint work with Teemu Pennanen.
Presentation slides (pdf, 133 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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