Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Speaker:
Aleksandar Mijatovic
Date and Time:
Wednesday, May 26, 2010 - 11:00am to 11:40am
Location:
Fields Institute, Room 230
Abstract:
In this talk we describe a deterministic characterisation of the no free lunch with vanishing risk (NFLVR), the no generalised arbitrage (NGA) and the no relative arbitrage (NRA) conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other. This is joint work with Mikhail Urusov.
