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    Corso di Studi in Ingegneria Matematica, nuovo progetto di doppia laurea con EPFL
    Double degree Master Program between Politecnico di Milano and EPFL

  Today’s events 19 ottobre 2017

  • oct 19 thu 2017

    logo matematica
    • On the martingale selection problem and its connection to arbitrage theory
    • Matteo Burzoni, ETH Zurigo
    • Thursday, 19 October 2017 at 15:30 precise, Aula Seminari del Terzo Piano
    • Abstract
      Given a collection of random set, the martingale selection problem consists in finding a selection of these sets and a probability measure with respect to which the selection is a martingale. We solve this problem in a pointwise framework, i.e. in absence of a reference probability and in discrete time. In a second part we show how the solution of this problem is strongly connected with arbitrage theory and show how to derive fundamental theorems of asset pricing in various context, from frictionless markets to general transaction costs. Joint work with Mario Sikic.

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    Matteo Burzoni, On the martingale selection problem and its connection to arbitrage theory , 10-19-2017, 15:30 precise

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