En poursuivant votre navigation sur ce site, vous acceptez l'utilisation d'un simple cookie d'identification. Aucune autre exploitation n'est faite de ce cookie. OK

Audiovisual Mathematics Library

Audiovisual Mathematics Library

Documents 60G48 2 results

Filter
Select: All / None
Q
K | F x r
Déposez votre fichier ici pour le déplacer vers cet enregistrement.
y

Discounting invariant FTAP for large financial markets - Balint, Daniel (Author of the conference) | CIRM H

Multi angle

For large financial markets as introduced in Kramkov and Kabanov 94, there are several existing absence-of-arbitrage conditions in the literature. They all have in common that they depend in a crucial way on the discounting factor. We introduce a new concept, generalizing NAA1 (K&K 94) and NAA (Rokhlin 08), which is invariant with respect to discounting. We derive a dual characterization by a contiguity property (FTAP).We investigate connections to the in finite time horizon framework (as for example in Karatzas and Kardaras 07) and illustrate negative result by counterexamples. Based on joint work with M. Schweizer.[-]
For large financial markets as introduced in Kramkov and Kabanov 94, there are several existing absence-of-arbitrage conditions in the literature. They all have in common that they depend in a crucial way on the discounting factor. We introduce a new concept, generalizing NAA1 (K&K 94) and NAA (Rokhlin 08), which is invariant with respect to discounting. We derive a dual characterization by a contiguity property (FTAP).We investigate connections ...[+]

91C99 ; 91B02 ; 60G48

Bookmarks

Cochez un panier pour y ajouter l'enregistrement. Décochez-le pour l'en enlever.

4

Manage my selections

Report an error
Déposez votre fichier ici pour le déplacer vers cet enregistrement.
y

Rates of convergence in the CLT for non stationary sequences and application to sequential dynamical systems - Merlevède, Florence (Author of the conference) | CIRM H

Multi angle

This talk is devoted to rates of convergence for minimal distances and for the uniform distance, between the law of partial sums associated with non necessarily stationary sequences and the limiting Gaussian distribution. Applications to linear statistics, non stationary rho-mixing sequences and sequential dynamical systems will be provided. This is a joint work with J. Dedecker and E. Rio.

60F05 ; 60G42 ; 60G48

Bookmarks

Cochez un panier pour y ajouter l'enregistrement. Décochez-le pour l'en enlever.

4

Manage my selections

Report an error

List: nb of elts/page

Select: All / None