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

Academy of Mathematics and System Sciences

The Chinese Academy of Sciences, China

 

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.

 

Date:

August 9, 2001 (Thursday)

Time:

4:00 - 5:00pm

Place:

Room 517, Meng Wah Complex

Tea at 3:40pm Room 516, Meng Wah

 

 

All are welcome