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Fragility of arbitrage and bubbles in diffusion models
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When
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5.15pm on Thursday 20th May 2010
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Where
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B617, Leverhulme Library, Columbia House
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Presentations
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Speaker
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Miklos Rasonyi
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From
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University of Edinburgh
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Abstract
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We show that every positive diffusion satisfying minimal regularity conditions can be approximated uniformly by processes that are martingales under an equivalent change of measure. This sheds new light on well-known processes like Bessel process and its inverse.
This is joint work with Paolo Guasoni.
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For further information
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Postgraduate Administrator Ext. 6879
Department of Statistics, Columbia House
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