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H 1 Viability and arbitrage under Knightian uncertainty

Auteurs : Burzoni, Matteo (Auteur de la Conférence)
CIRM (Editeur )

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    Résumé : We provide a general framework to study viability and arbitrage in models for financial markets. Viability is intended as the existence of a preference relation with the following properties: It is consistent with a set of preferences representing all the plausible agents trading in the market; An agent with such a preference is in equilibrium, namely, he or she prefers to stay at the initial endowment respect to trade. We extend the original framework of Kreps ('79) and Harrison-Kreps ('79) to accommodate for Knightian Uncertainty: preferences of plausible agents are not necessarily determined by a single probability measure. The relations between arbitrage, viability, and existence of (non-)linear pricing rules are investigated.
    This is a joint work with Frank Riedel and Mete Soner.

    Codes MSC :
    60H30 - Applications of stochastic analysis (to PDE, etc.)
    91B02 - Fundamental topics (basic mathematics, methodology ; applicable to economics in general)
    91B52 - Special types of equilibria

      Informations sur la Vidéo

      Langue : Anglais
      Date de publication : 16/11/2017
      Date de captation : 14/11/2017
      Collection : Research talks ; Mathematics in Science and Technology ; Probability and Statistics
      Format : MP4
      Durée : 00:37:25
      Domaine : Mathematics in Science & Technology ; Probability & Statistics
      Audience : Chercheurs ; Doctorants , Post - Doctorants
      Download : https://videos.cirm-math.fr/2017-11-14_Burzoni.mp4

    Informations sur la rencontre

    Nom de la rencontre : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques
    Organisateurs de la rencontre : Bouchard, Bruno ; Cheridito, Patrick ; Schweizer, Martin ; Touzi, Nizar
    Dates : 13/11/2017 - 17/11/2017
    Année de la rencontre : 2017
    URL Congrès : https://conferences.cirm-math.fr/1730.html

    Citation Data

    DOI : 10.24350/CIRM.V.19244203
    Cite this video as: Burzoni, Matteo (2017). Viability and arbitrage under Knightian uncertainty. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19244203
    URI : http://dx.doi.org/10.24350/CIRM.V.19244203


    Voir aussi

    Bibliographie

    1. Burzoni, M., Riedel, F., & Soner, H. Mete (2017). Viability and Arbitrage under Knightian Uncertainty. - https://arxiv.org/abs/1707.03335

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