Robust Martingale Selection Problem and its Connections to the No-Arbitrage Theory


Given a collection of random sets V=(Vt) the martingale selection problem consists in finding a stochastic process S taking values in V and such that S is a martingale under a measure Q. We derive conditions for the... [ view full abstract ]


  1. Matteo Burzoni (ETH Zurich)
  2. Mario Sikic (University of Zurich)

Topic Areas

Arbitrage Theory , Market Frictions , Robustness


TU-P-DA » Robust and Model-Free Finance (14:30 - Tuesday, 17th July, Davis)

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