Model selection and arbitrage


We discuss which classes of trading strategies admit arbitrage of the first kind for different types of models in a unified multidimensional semimartingale setting, criteria when the differences between these settings vanish,... [ view full abstract ]


  1. Thomas Liebmann

Topic Areas

Arbitrage Theory , Stochastic Analysis , Trading Strategies


PS » Poster Presentations (11:00 - Monday, 16th July)

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