3/16 quant finance 紐約講座 -- asset pricing - 財務

講題: A Numeraire-Independent Ver. of the Fundamental Theorem of Asset Pricing

主講: Dr. Travis Fisher (大摩執行董事)

時間: 16 Mar 2015 5:45 PM (EDT)

地點: NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY

費用: IAQF Member -- Free, Non-Member -- $25.00 (USD)

註冊: http://www.iaqf.org/event

導讀: http://www.oxford-man.ox.ac.uk/~jruf/papers/nonEquiv.pdf

大綱:
The Fundamental Theorems of Asset Pricing are aptly-named results that
show the relationship between absence of arbitrage and the martingale
property. These theorems are fundamental to mathematical finance in that
they provide the bridge between the mathematics and the finance: on the
one side, the mathematical objects of stochastic processes and martingale
measures; on the other the financial ideas of trading strategies and
arbitrage. We aim to widen the bridge to cover cleanly the case when
there are multiple financial assets, any of which may potentially lose
all value relative to the others. To do this we shift away from having a
pre-determined numeraire to a more symmetrical point of view where
all assets have equal priority.

Joint work with Johannes Ruf and Sergio Pulido.

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