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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: Hedging, arbitrage and optimality under superlinear frictions

Presented by Miklos Rasonyi, The University of Edinburgh

16 June 2014 02:00 in CM221

In a continuous-time model with multiple assets described by cadlag processes, we characterize
superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make
execution prices arbitrarily unfavorable for high trading intensity.
Such frictions induce a duality between feasible trading strategies and shadow execution prices with a martingale measure.
Utility maximizing strategies exist even if arbitrage is present, because it is not scalable at will.
The talk is based on the following manuscript:
P. Guasoni and M. Rasonyi. Hedging, arbitrage and optimality under superlinear frictions. SSRN:2317344

Contact sunil.chhita@durham.ac.uk for more information