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SUMMARY:Fundamental Theorem of Asset Pricing under Transaction costs and M
 odel uncertainty - Bayraktar\, E (University of Michigan)
DTSTART:20131120T110000Z
DTEND:20131120T115000Z
UID:TALK48916@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We prove the Fundamental Theorem of Asset Pricing for a discre
 te time financial market consisting of a money market account and a single
  stock whose trading is subject to proportional transaction cost and whose
  price dynamic is modeled by a family of probability measures\, possibly n
 on-dominated. Under a continuity assumption\, we prove using a backward-fo
 rward scheme that the absence of arbitrage in a quasi-sure sense is equiva
 lent to the existence of a suitable family of consistent price systems. A 
 parallel statement between robust no-arbitrage and strictly consistent pri
 ce systems is also obtained.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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