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Institute of
Mathematical Research Department
of Mathematics |
Department of
Statistics and
Actuarial Sciences |
Clarifying Some Basic Concepts and
Results in Arbitrage Pricing Theory
Professor Jia-An Yan
The Chinese
Abstract
In arbitrage pricing theory, the notion of No Arbitrage or No Free Lunch with Vanishing Risk (NFLVR) w.r.t. admissible strategies depends on the choice of numeraire. In 1998 I introduced the notion of allowable strategy and showed that the condition of NFLVR w.r.t. allowable strategies is independent of the choice of numeraire and is equivalent to the existence of an equivalent martingale measure for the deflated price process. In this talk I will present a joint work with J. M. Xia in which we clarify some basic concepts and results in arbitrage pricing theory: superhedging, fair price, replicatable contingent claim, complete market.
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Date: |
August 9, 2001 (Thursday) |
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Time: |
4:00 - 5:00pm |
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Place: |
Room 517, Meng Wah Complex |
Tea at 3:40pm Room 516, Meng Wah
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All are welcome |
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