讲题: A Numeraire-Independent Ver. of the Fundamental Theorem of Asset Pricing 主讲: Dr. Travis Fisher (大摩执行董事) 时间: 16 Mar 2015 5:45 PM (EDT) 地点: NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY 费用: IAQF Member -- Free, Non-Member -- $25.00 (USD) 注册: http://www.iaqf.org/event 导读: http://www.oxford-man.ox.ac.uk/~jruf/papers/nonEquiv.pdf 大纲: 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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