Ic1 Optimal Execution in a General One-sided Limit Order Book Ic2 Stable Diffusions with Rank-based Interactions, and Models of Large Equity Markets Ic3 Simulation Schemes for Stopped Lvy Processes Ic5 Optimal Order Placement in Limit Order Books
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چکیده
not available at time of publication. Marco Avellaneda Courant Institute New York University [email protected] IC5 Optimal Order Placement in Limit Order Books Abstract not available at time of publication.not available at time of publication. Xin Guo University of California, Berkeley [email protected] IC6 Quantitative Absence of Arbitrage and Equivalent Changes of Measure It is well known that absence of arbitrage is a highly desirable feature in mathematical models of financial markets. In its pure form (whether as NFLVR or as the existence of a variant of an equivalent martingale measure R), it is qualitative and therefore robust towards equivalent changes of the underlying reference probability (the ”real-world” measure P). But what happens if we look at more quantitative versions of absence of arbitrage, where we impose for instance some integrability on the density dR/dP? To which extent is such a property robust towards changes of P? We discuss these questions and present some recent results. The talk is based on joint work with Tahir Choulli (University of Alberta, Edmonton). Martin Schweizer ETH Math Zurich, Switzerland [email protected]
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تاریخ انتشار 2012